VGSF - WU Vienna - LC

Lubos Pastor, The University of Chicago Booth School of Business

Campus WU D4.0.019 11:30 - 12:45

Organizer WU Vienna

The Fin­ance Brown Bag Sem­inar is held by the In­sti­tute for Fin­ance, Bank­ing and In­sur­ance (WU Vi­enna) and the Vi­enna Gradu­ate School of Fin­ance (VGSF). It serves as a present­a­tion plat­form for PhD stu­dents, fac­ulty mem­bers, and vis­it­ors. An over­view of BBS on the web­site of the In­sti­tute for Fin­ance, Bank­ing and In­sur­ance.

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Janu­ary 27th, 2020, 11:30-12:45, D4.0.019

Lubos Pas­tor, The Uni­versity of Ch­icago Booth School of Busi­ness

Title: "Sus­tain­able In­vest­ing in Equi­lib­rium"

Ab­stract

We present a model of in­vest­ing based on en­vir­on­mental, so­cial, and gov­ernance (ESG) cri­teria. In equi­lib­rium, green as­sets have neg­at­ive al­phas, whereas brown as­sets have pos­it­ive al­phas. The ESG in­vest­ment in­dustry is at its largest, and the al­phas of ES­G-­mo­tiv­ated in­vestors are at their lowest, when there is large dis­per­sion in in­vestors' ESG pref­er­ences. When this dis­per­sion shrinks, so does the ESG in­dustry, even if all in­vestors' ESG pref­er­ences are strong. Greener as­sets are more ex­posed to an ESG risk factor, which cap­tures shifts in cus­tomers' tastes for green products or in­vestors' tastes for green hold­ings. Un­der plaus­ible con­di­tions, the lat­ter tastes pro­duce posi- tive so­cial im­pact.



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