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SUSTAINABLE FINANCE
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SUSTAINABLE FINANCE
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Academic year 2024/2025
- Course ID
- SEM0177
- Teacher
- Elisa Luciano (Lecturer)
- Degree course
- Finance
Insurance and Statistics - Year
- 2nd year
- Teaching period
- First semester
- Type
- Related or integrative
- Credits/Recognition
- 6
- Course disciplinary sector (SSD)
- SECS-S/06 - mathematical methods of economy, finance and actuarial sciences
- Delivery
- Formal authority
- Language
- English
- Attendance
- Optional
- Type of examination
- Practice test
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Sommario del corso
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Course objectives
Sustainable finance is driving both modern portfolio allocation and asset pricing. It is the most evident phenomenon of the interconnectedness of real and financial markets. Finance can substantially help the green transition, and encourage the adoption of good social and governance principles. The latter, and in particular the E dimension, together with climate change and planet sustainability, may interplay with investor preferences and market attitudes, so that firms who are truly at the forefront of ESG principles may get cheaper and easier funding.
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Results of learning outcomes
ESG transition is the modern version of the fact that financial investors belong to different groups, in terms of access to markets, horizons, but above all tastes and beliefs. Also firms have different impacts on the environment, as well as different social and governance attitudes. Traditional financial models and data analysis with a representative agent do not do easily justice of this heterogeneity, which instead is key to the understanding of current and future market attitudes and possible policy actions.
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Course delivery
The course will be taught by Elisa Luciano. Fabio Moneta (University of Ottawa, Telfer School of Management) and industry professionals will be hosted. The material consists of slides and articles.
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Learning assessment methods
Reading assignments will be given and class discussion will follow. A multiple choice test will also be considered.
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Program
Knowledge os standard CAPM is required.
- ESG risks and factors: definition and basics (6 hours)
Markets with ESG assets: first empirical evidence on assets, investors and investor attitudes
Responsible Investing vs ESG and sustainable
Regulatory interventions (EIOPA, EBA..)Sustainable funding of the real sector vs window dressing
ESG strategies and SDGs
Other forms of sustainable investing (PRIs, impact investing, engagement)
Slides will be made available.
- Growth of ESG investing (10 hours)
Who invests green
Observed return performances in the equity market
Rationalizing the green premium vs brown premium
Carbon Emissions and Climate Finance
ESG versus Carbon emissions in the financial market
A focus on bonds (sustainability vs green, corporate vs Govies)
Slides will be made available.
- ESG ratings and their heterogeneity (6 hours)
Providers
Methods
Heterogeneity
Effects on the premium
- Markets with ESG assets (10 hours)
Portfolio choice
Equilibrium
Slides will be made available.
- Heterogeneous information in ESG markets (how to learn about ESG premia) (4 hours)
Portfolio choice
The German bonds case
Slides will be made available.
- Sustainable funds (lecture by Prof. Moneta, Tepper Scholl of Business, 2 hours)
Article 8 and 9 funds
Performance evaluation and evidence on ESG mutual funds
- Case studies, with testimonials from the industry (10 hours)
Suggested readings and bibliography
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- Article
- Title:
- Advice on Sustainable investments for IORPs: risk, return and inclusion properties
- Journal title:
- https://www.eiopa.europa.eu
- Year of publication:
- 2023
- Author:
- OPSG, EIOPA
- Volume:
- OPSG -22/13
- URL:
- Required:
- Yes
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- Article
- Title:
- Responsible Investing: the ESG efficient frontier
- Journal title:
- journal of financial economics
- Year of publication:
- 2021
- Author:
- Pedersen , L. H., S. Fitzgibbons, and Pomorski.L.
- Required:
- Yes
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- Article
- Title:
- Sustainable Investing in Equilibrium
- Journal title:
- Journal of Financial Economics
- Year of publication:
- 2021
- Author:
- Pastor, L., Stambaugh, R.F., and L.A. Taylor
- Volume:
- 142
- Issue:
- 2
- Start, end page:
- 550-571
- Required:
- Yes
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- Article
- Title:
- Sustainable investing with ESG rating uncertainty
- Journal title:
- Journal of Financial Economics
- Year of publication:
- 2021
- Author:
- Avramov, D., Cheng, S., Lioui, A., and Tarelli, A.
- Required:
- Yes
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- Article
- Title:
- Climate Finance
- Journal title:
- Annual Review of Financial Studies
- Year of publication:
- 2021
- Author:
- Giglio, S., Kelly, B., and J. Stroebel
- Required:
- Yes
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- Article
- Title:
- Aggregate confusion: The divergence of ESG ratings
- Journal title:
- Review of Finance
- Year of publication:
- 2022
- Author:
- Berg, Florian, Julian F. Koelbel, and Roberto Rigobon
- Notes:
- selected sections
- Required:
- Yes
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- Article
- Title:
- Do investors care about carbon risk?
- Journal title:
- Journal of Financial Economics
- Year of publication:
- 2021
- Author:
- Bolton P, Kacperczyk M.
- Volume:
- 142
- Issue:
- 2
- Required:
- No
- Oggetto:
- Article
- Title:
- ESG asset demand with information costs
- Journal title:
- working paper
- Year of publication:
- 2023
- Author:
- Luciano, E., Tolomeo, A.
- URL:
- Required:
- Yes
- Oggetto:
- Article
- Title:
- Dissecting green returns
- Journal title:
- Journal of Financial Economics
- Year of publication:
- 2022
- Author:
- Pástor, Ľ., Stambaugh, R.F. and Taylor, L.A.,
- Volume:
- 146
- Issue:
- 2
- DOI:
- Required:
- Yes
- Oggetto:
- Article
- Title:
- Holding horizon: A new measure of active investment management
- Journal title:
- Journal of Financial and Quantitative Analysis
- Year of publication:
- 2024
- Author:
- Lan, C., Moneta, F., & Wermers, R.
- Required:
- Yes
- Oggetto:
- Article
- Title:
- Investing in socially responsible mutual funds
- Journal title:
- The Review of Asset Pricing Studies
- Year of publication:
- 2021
- Author:
- Geczy, Christopher C., Robert F. Stambaugh, and David Levin
- DOI:
- Required:
- No
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- Article
- Title:
- Do investors value sustainability? A natural experiment examining ranking and fund flows
- Journal title:
- Journal of Finance
- Year of publication:
- 2019
- Author:
- Hartzmark, Samuel M., and Abigail B. Sussman
- DOI:
- Required:
- No
- Oggetto:
- Article
- Title:
- Hedging climate change news
- Journal title:
- The Review of Financial Studies
- Year of publication:
- 2020
- Author:
- Engle, R. F., Giglio, S., Kelly, B., Lee, H., & Stroebel, J.
- Volume:
- 33
- DOI:
- Required:
- No
- Oggetto:
- Article
- Title:
- Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens
- Journal title:
- Financial Analysts Journal
- Year of publication:
- 2021
- Author:
- Ananth Madhavan, Aleksander Sobczyk & Andrew Ang
- DOI:
- Required:
- No
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