1,721,000 research outputs found
Corporate social responsibility and earnings forecasting unbiasedness
No full textWe investigate the relationship between corporate social responsibility (CSR) and I/B/E/S analysts' earnings per share (EPS) forecasts using a large sample of US firms for 1992-2011. Based on literature findings, we decompose the CSR effect into four factors: accounting opacity, corporate governance, stakeholder risk, and overinvestment. We find that all of them significantly affect both the absolute forecast error on EPS and its standard deviation controlling for forecast horizon; number of analysts and forecasts; and year, industry, and broker house effects. Consistently with our ex ante hypotheses, overinvestment, stakeholder risk, and accounting opacity have a positive effect, increasing both dependent variables, while corporate governance quality has a negative effect. A crucial aspect of our findings is that high CSR quality in terms of the four factors (i.e., accounting transparency, high corporate governance quality, stakeholder risk mitigation, and absence of overinvestment) contributes to making earnings forecasts unbiased as unbiasedness is generally met in the subsample of the Top CSR quality companies and markedly violated in the subsample of the Bottom CSR companies. We also document that overinvestment and stakeholder risk are sufficient to produce this effect. © 2013 Elsevier B.V
The contributions of betas versus characteristics to the ESG premium
No full textFirms that score high on environmental, social, and governance (ESG) indicators exhibit lower expected returns. This negative ESG premium might be driven by the lower risk associated with high ESG scores (betas), or it could signal investors' preferences for firms with high ESG scores (characteristics). We show that ESG as a characteristic mainly drives the premium. Specifically, a one standard deviation increase in the ESG characteristic is associated with a decrease in expected returns of 2.73% annually. In addition, the ESG characteristic explains a higher proportion of the cross-sectional variation in expected returns compared to ESG betas. We further caution for the presence of an ESG bias within the ESG premium that is due to positive realized returns preceding lower long-term expected returns. When correcting our estimates for the ESG bias the decrease in expected returns turns out to be 3.41% on an annual basis. The ESG bias correction, together with a firm-level methodology, can help clarify the mixed findings documented in the literature
Eventi e News nei Mercati Finanziari
No full textIl mercato finanziario domestico ed internazionale si è sempre più allontanato,
nell’ultimo ventennio, dalle ipotesi di efficienza perfetta ed assenza di attriti
nella formazione dei prezzi, postulati dalla teoria ed in qualche caso osservabili
– almeno temporaneamente – in alcuni segmenti dei mercati finanziari. In questo
clima si sono sempre maggiormente affermati gli schemi interpretativi della
finanza comportamentale, di cui costituiscono un importante strumento empirico
gli Event Studies (ES), estesamente descritti in questo libro
Till mortgage do us part: Mortgage switching costs and household's bank switching
No full textWe investigate the role of mortgage switching costs in shaping the households' decision to change their main bank. To this end, we use a unique panel dataset that enables us to infer household's bank switching, in conjunction with a legal reform that exogenously slashed down the mortgage switching costs. The empirical evidence, which survives to a variety of robustness checks, supports the hypothesis that the explicit switching costs in the retail banking market are a weighty factor in shaping households' bank switching, despite any potential "informational lock-in". Dissecting the results, we show that the effects of the reform were not uniform across households. The more educated households, those with a longer or broader relationship with their previous bank and those residing in ex-ante less competitive banking markets were at the forefront of the wave of bank switching. (C) 2020 Elsevier B.V. All rights reserved
Corporate social responsibility and financial performance: An analysis of bank community responsibility
No full textThis paper investigates the impact of a bank’s community responsibilities on financial performance. It utilises various improved performance measures (short and long run performance, book and market value, labour productivity and overall productivity), as well as a test for causality. The paper finds significant evidence that banks were better off by adhering to their mandated community responsibilities. In fact, banks were more likely to be rewarded with lower cost of capital for both debt and equity. In terms of causality, the paper finds that social and financial performances could be codetermined; however, the relationship between these two variables seemed to be stronger in the direction of social responsibility having an impact on financial performance
A new measure of the resilience for networks of funds with applications to socially responsible investments
No full textThis paper provides a novel resilience measure of a family of networks in terms of stability of its community structure. To this aim, we assign to each node a probability distribution and introduce an exogenous shock as a lump sum perturbing its left tail. Then, we measure the reactions of the considered networks to the occurrence of such exogenous shocks. Starting from the intuitive interpretation of the methodological proposal in the financial context, we employ it to compare portfolios of funds with different ranks in terms of the Environmental, Social and Governance score. In particular, we consider financial networks whose nodes represent funds, and edges are weighted on the basis of the capitalization due to the common components of the connected nodes. Interestingly, we find that the considered network of High ranked funds is more resilient than the corresponding network of Low ranked funds when funds are small-sized. The opposite behavior is observed for the big-sized funds
Corporate social responsibility and stock market performance
No full textWe analyse the performance of a large sample of Socially Responsible (SR) stocks relative to a Control Sample (CS) of equivalent size for 14 years. We find that individual SR stocks have on average significantly lower returns and unconditional variance than CS stocks when controlling for industry effects. This result is paralleled by descriptive evidence on the lower (daily return) mean and variance of the buy-and-hold strategies on the SR portfolio with respect to those on the control portfolio. Beyond this first evidence we discover that: (i) individual SR stocks are significantly less risky when controlling for conditional heteroskedasticity; (ii) there are no significant differences in risk-adjusted returns between the two buy-and-hold strategies on (SR and CS) portfolios; (iii) the buy-and-hold strategies on the SR portfolio exhibits significantly lower exposition to systematic nondiversifiable risk. These last findings are robust to different-market model, Generalized Autoregressive Conditional Heteroskedasticity (GARCH(1, 1)), Asymmetric Power ARCH (APARCH(1, 1))-model specifications.
Attitude towards financial planning of Italian households
Full text linkEmploying structured financial planning to manage personal finances on is associated with higher levels of financial well-being and increased ability to react to shocks. Therefore, it is important to understand the factors associated with the propensity to plan and
what it is that promotes financial planning. Our empirical evidence for a sample of Italian
households shows a poor inclination for financial planning. CONSOB Survey data on the financial investments made by of Italian household (or FIIH) are used to estimate a probit
model which shows a positive association between financial planning and financial
knowledge, and the relevance of personal traits such as financial anxiety and financial selfefficacy, financial control (control over savings, spending and indebtedness) and financial
conditions. The findings provide useful insights for financial decision-makers in the context
of financial education initiatives and client-intermediary relationship aimed at promoting
appropriate attitudes and choices towards managing money
Mitigating Contagion Risk by ESG Investing
No full textWe study whether ESG investing may mitigate the risk of contagion among equity mutual funds. More precisely, we measure the impact of fire-sale spillover, propagating throughout the financial system, on funds ranked on ESG aspects. We compare the relative loss of capitalization experienced by high-and low-ranked funds. Contagion, which is indirect since funds are not exposed to counterparty risk, is modeled using a network structure. In cases of deleveraging from funds, firesale spillover propagates throughout the network because of common asset holdings among funds. We find that funds’ vulnerability to contagion decreases when the level of ESG compliance increases. Moreover, the average relative loss is lower for the high-ranked funds than for the low-ranked ones. The small-size funds mainly drive the result. Our findings indicate that contagion is less effective for high-ranked funds. From a macroeconomic perspective, ESG investing represents a new opportunity for diversification that makes the system more resilient to contagion
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