296 research outputs found

    DOES ESG SCORE HAVE AN IMPACT ON THE FINANCIAL PERFORMANCE OF ETFs

    Get PDF
    Socially responsible investing (SRI) is the inclusion of non-financial factors in the investment decision-making process. The SRI approach complements conventional investment portfolio optimization by considering environmental, social and governance factors (ESG). Responsible investing is a recent growing trend among Exchange-traded Funds (ETF). The popularity is explained by low management costs and a wide range of options. Investors can use ETFs to invest in equities, interest rates, real estate or commodities across a wide range of geographical areas and industries. The purpose of this study is to contribute to the present literature by investigating whether the inclusion of ESG parameters in the process of creating ETF portfolios affects abnormal returns over the research period 1.1.2010-31.7.2020 in the U.S market. This study utilizes Morningstar's sustainability rating based on company-specific benchmarking data collected by Sustainalytics. Following this, sustainability ratings have been used to construct different portfolios. Research is conducted by analyzing how substantially different sustainability ratings produce abnormal returns and differences between portfolios performances. For determining the alphas for the portfolios, factor models such as CAPM, Fama-French 3-factor, Carhart 4-factor, and Fama-French 5-factor are utilized. Furthermore, an analysis of risk-adjusted performance is extended by investigating the Sharpe ratio and Treynor ratio. Empirical results reveal that during the research period, each portfolio yielded negative returns. However, both the unsustainable and the sustainable portfolios underperform compared to conventional portfolios, i.e., a portfolio that includes the average score ETFs. The results of this study indicate that there is an increased risk of loss when investing in widely unsustainable or sustainable portfolios.Viimeisen vuosikymmenen aikana sosiaalisesti vastuullisesta sijoittamisesta on tullut nopeasti kasvava ilmiö rahoitusalalla. Ihmiset ovat aikaisempaa tietoisempia ympäristöasioista ja haluavat suosia vastuullisia vaihtoehtoja jokapäiväisessä elämässä, mutta myös sijoittamisessa. Vastuullisuuteen liittyvän kiinnostuksen takia on syntynyt useita sosiaalisesti vastuullisia rahastoja, indeksejä ja sijoitusstrategioita, mikä on antanut sijoittajille mahdollisuuden yhdistää henkilökohtaiset mieltymyksensä ja arvonsa sijoituspäätöksiinsä. Vastuullinen sijoittaminen onkin muodostunut viime aikoina kasvavaksi trendiksi pörssilistattujen rahastojen (ETF) keskuudessa. Rahastojen suosio selittyy alhaisilla hallintokustannuksilla ja laajalla valikoimalla. Sijoittajat voivat käyttää ETF-rahastoja sijoittaakseen osakkeisiin, korkoihin, kiinteistöihin tai hyödykkeisiin monilla eri maantieteellisillä alueilla ja toimialoilla. Tämän Pro Gradu -tutkielman tarkoituksena on laajentaa nykyistä tutkimuskirjallisuutta ja tutkia ETF-rahastojen epänormaajeja tuottoja. Tutkielmassa selvitetään, vaikuttaako ESG-parametrien sisällyttäminen ETF-portfolioiden luomisprosessiin tutkimusjakson 1.1.2010-31.7.2020 aikana Yhdysvaltojen markkinoilla. Tutkielmassa hyödynnetään Morningstarin kestävyysluokitusta, joka perustuu Sustainalyticsin keräämiin yrityskohtaisiin vertailutietoihin. Tutkielmassa analysoidaan, kuinka olennaisesti erilaiset kestävyysluokituksesta rakennetut portfoliot tuottavat epänormaalia tuottoa eli alfaa. Salkkujen alfojen määrittämiseen käytetään faktorimalleja, kuten CAPM, Fama-French 3-faktoria, Carhart 4-faktoria ja Fama-French 5-faktoria. Riskiin mukautetun suorituskyvyn analyysiä laajennetaan tutkimalla myös Sharpen ja Treynorin suhdelukuja. Tämän tutkielman empiiriset tulokset paljastavat, että tutkimusjakson aikana jokainen portfolio on tuottanut negatiivistä alfaa. Sekä erittäin vastuulliset että vastuuttomat portfoliot ovat kuitenkin heikompia kuin portfolio, joka on rakennettu edellämainittujen väliltä. Tulokset osoittavat, että rahastojen tappioriski kasvaa, kun sijoitetaan erittäin vastullisiin tai vastuuttomiin ETF-portfolioihin

    Managing risks of capital mobility

    Get PDF
    Inherent in pursuing openness to international capital flows is an awareness that it brings both benefits and risks. Much of the current debate is about how best to balance them. Major benefits for developing countries include access to a broader menu of investment sources, options, and instruments, as well as enhanced efficiency of domestic financial institutions and the discipline of capital markets in conducting domestic macroeconomic policy. By easing financing constraints, the greater availability of international finance can extend the period for implementing needed adjustments. From the perspective of emerging market economies, the author highlights two sources of risk: the host governments'policy of liberalizing capital controls before having established the macroeconomic, regulatory, and institutional foundations required for capital openness. A shift in foreign leaders'and investors'sentiments and confidence, not necessarily related to a particular country's long-term creditworthiness. Risk management demands judicious strategies for both corporate and financial institutions and national policy. At the institutional level, with the advances in technology and communications, financial risk management practice has improved significantly in recent years through the use of statistical models, such as value at risk, computer simulation, and stress testing. At the national level, with the worldwide trend toward democracy, the author argues that managing the risks of financial openness will require developing national mechanisms through which to provide insurance to citizens-through the marketplace or through redistributive policy-and thus to avert political pressure for capital controls. To succeed, open democratic societies have to balance the threat of capital exit, made easier by the opening of capital markets, with the political voice of citizens-demanding protection through redistribution, social safety nets, and other insurance-like measures. These insurance measures have been critical increasing the tension between politics and financial openness in OECD countries. Indeed, cross-country empirical analysis confirms that countries that spend a large share of their GDP on social needs (education, health, and transfer payments) are more open to free international capital flows, and also score high on measures of political and civil liberty.Capital Markets and Capital Flows,Fiscal&Monetary Policy,Payment Systems&Infrastructure,Banks&Banking Reform,Economic Theory&Research,Financial Intermediation,Banks&Banking Reform,Economic Theory&Research,Financial Economics,Settlement of Investment Disputes

    Managed Floats to Damp Shocks like 1982-5 and 2006-9: Field and Laboratory Evidence for Chinese Interest in a Single World Currency

    Get PDF
    This paper’s field evidence is: (1) many official sectors rapidly forget the damage of the 1982-85 exchange rate liquidity crisis and reverted to what caused that crisis, namely a closed economy clean floats perspective; and (2) the 2006-2008/9 exchange rate liquidity shock would have been more drastic but for central bank currency swaps. This evidence is bolstered by a laboratory experiment that incorporates more aspects of real world complexity and more different sorts of official and private sector agents than are feasible in econometric or algebraic investigations and employs a new central bank cooperation-conflict model of exchange rate determination , and is within an umbrella theory of Pope, namely SKAT, the Stages of Knowledge Ahead Theory. SKAT allows for risk effects from stages omitted in normal models, including those from (a) difficulties of agents in evaluating alternatives in a complex environment in which the assumed maximization of expected utility is impossible; and (b) preference for safety and reliability is not trivialized. Our joint field plus laboratory evidence indicates that official sectors should maintain an international exchange rate oriented perspective, or better yet, a single world currency as recommended by Zhou Xiaochuan, head of the People’s Bank of China. To avoid rapid forgetting of havoc from isolationist clean floats and the value of stable exchange rates, a new syllabus, as under the SKAT umbrella, is fundamental in the education of official sector members in order to furnish them with a coherent alternative intellectual framework to current university education that excludes liquidity crises.clean float, managed float, IMF imposed conditions, exchange rate regime, exchange rate volatility, experiment, SKAT the Stages of Knowledge Ahead Theory, monetary policy, transparent policy, exchange rate shocks, central bank cooperation, central bank conflict

    private equity: an economic analysis of applications, opportunities, risks and social impacts

    Get PDF
    I fondi di Private Equity sono oggetto di sempre maggiore attenzione nel panorama economico internazionale. La forte crescita riscontrata negli ultimi anni suscita molto interesse nella ricerca accademica. Da un lato il private equity è delineato come un asset class di rilevanza strategica, in quanto strumento a supporto di realtà aziendali sia da un punto di vista finanziario che organizzativo; dall’altro numerose critiche sono state sollevate per la sua natura speculativa in termini di rendimento e profitti. Questo lavoro vuole analizzare in chiave critica, le effettive ripercussioni di carattere macroeconomico, in realtà che riscontrano la presenza di questi fondi di investimento, i quali si definiscono promotori di crescita economica, nonché generatori di valore ed opportunità. Spesso l’operato del private equity ricade in politiche di management finalizzate al solo conseguimento di elevati profitti da poter ripartire tra i propri investitori. Da ciò deriva poca prudenza ed il ricorso al sovra-indebitamento, con conseguenti appesantimenti alla struttura aziendale, la quale si trova ad intraprendere azioni drastiche per poter far fronte agli impegni finanziari. Verranno proposte possibili soluzioni in termini regolamentari, volte ad ammortizzare le implicazioni negative che ne derivano a discapito della società e dell’economia

    Ownership and corporate governance : evidence from the Czech Republic

    Get PDF
    The Czech Republic's mass-privatization scheme changed the governance of many firms in a short time. The authors show that mass privatization was effective in improving firm management because of the concentrated ownership structure that resulted. For a cross section of 706 firms for the period 1992-95, they find that the more concentrated the firm's ownership, the higher the firm's market valuation and profitability. Large ownership through bank-sponsored investment funds and strategic investors appears to be particularly important in improving corporate governance and turning firms around. They find no evidence that market valuation or profitability were lower for firms in which investment funds sponsored by a firm's main bank represented a large ownership stake. It is often argued that the firm's main bank having (indirect) ownership control could represent a conflict of interest. The empirical analysis here shows, quite the contrary, that such indirect ownership control has a significant positive influence. On balance, banks that had an (indirect) equity stake in a firm have a positive influence on the firm's corporate governance.Financial Crisis Management&Restructuring,International Terrorism&Counterterrorism,Economic Theory&Research,Payment Systems&Infrastructure,Banks&Banking Reform,Economic Theory&Research,International Terrorism&Counterterrorism,Financial Crisis Management&Restructuring,Banks&Banking Reform,Environmental Economics&Policies

    Fiscal contingency planning for banking crises

    Get PDF
    There is constant demand for an estimate of the likely fiscal costs of future banking crises, but little precision can be expected in such an estimate. The author shows how information that is typically available to authorities could be used to get a general sense of the order of magnitude of the direct fiscal liability. What is required for such an estimate? 1) Information about the size and composition of the bank's balance sheets. 2) Expert assessments of the accuracy of the accounting data and of specific short-term risks to which the components are known to be subject. The author's method distinguishes between losses that have already crystallized and the changing risks for the immediate future. By including contingency planning for banking collapse in their fiscal calculations, authorities may risk destabilizing expectations or worsening the moral hazard in the system. But the risks of contingency planning generally outweigh the risks of sending confused signals. Insisting on ignorance is a poor way to protect against announcement errors that trigger panic.Insurance&Risk Mitigation,Banks&Banking Reform,Financial Intermediation,Payment Systems&Infrastructure,Financial Crisis Management&Restructuring,Banks&Banking Reform,Financial Intermediation,Financial Crisis Management&Restructuring,Insurance&Risk Mitigation,National Governance

    Of floods and droughts : the economic and financial crisis of 2008

    Get PDF
    This paper provides an overview of the period prior to the recent global crisis, and the policies that were adopted around the world in response to the crisis. It highlights a number of key issues regarding economic and financial policies that governments have faced both globally and nationally. These are related to the management of boom and bust episodes that deserve more attention in policy circles in the future.Debt Markets,Emerging Markets,Currencies and Exchange Rates,Economic Theory&Research,Access to Finance

    Mutual Funds’ Performance Sensitivity to Funds’ Attributes. Case Study: Saudi Mutual Funds

    Get PDF
    Це дослідження є внеском у наукову літературу про релігійні взаємні інвестиційні фонди, пропонуючи порівняльне дослідження чутливості ефективності ісламських і звичайних фондів до змін у списку сімнадцяти відповідних атрибутів фондів, усі в контексті саудівського ринку. Досліджуваними показниками ефективності є надлишкова віддача, вибірковість і час. Дослідження проводилося з 2011 по 2015 роки з вибіркою 200 активних саудівських фондів, 137 ісламських і 63 звичайних. Висновки показали, що розмір фонду, комісія за управління, співвідношення готівки та ціна-прибуток не мають значення як для ісламських, так і для традиційних фондів. Крім того, ми помітили схожість у чутливості як ісламських, так і звичайних фондів до обороту, несистематичних ризиків, цільового інвестування, минулих показників, віку та перебування в управлінні. Однак вони по-різному реагують на зміну співвідношення ціни та балансу. З іншого боку, систематичний ризик фонду, відношення грошових потоків до балансу та фактори віри є виключно актуальними для ісламських фондів, тоді як зростання фонду та ціль впливають лише на показники традиційного фонду. Нарешті, вибірковість і терміни виявляються взаємовиключними, що свідчить про спеціалізацію управління. Ця робота є першим порівняльним аналізом такого роду. Більша багаторегіональна вибірка та довший період дослідження дадуть кращу інформацію.This study contributes to the academic literature on faith-based mutual funds, by offering a comparative investigation of Islamic vs. conventional funds’ performance sensitivity to changes in a list of seventeen relevant funds’ attributes, all in the context of the Saudi market. The performance measures investigated are the excess return, selectivity and timing. The study took place from 2011 to 2015, with a sample of 200 Active Saudi funds, 137 Islamic and 63 conventional. Findings indicated that fund size, management fees, expense ratio cash and price-earnings ratio were irrelevant to both Islamic and conventional fund performances. In addition, we noticed similarities in both Islamic and conventional funds’ performances sensitivities towards turnover, unsystematic risk, investment target, past performance, age and management tenure. They however react differently towards a change in the price-to-book ratio. On the other hand, fund systematic risk, cashflow-to-book ratio and faith factors are exclusively relevant to Islamic funds, while fund growth and objective only affect conventional fund performance. Finally, selectivity and timing appear to be mutually exclusive, suggesting management specialization. This work appears to be the first comparative analysis of its kind. A larger, multi-regional sample, and a longer study period will provide better insights

    The SEC and the Institutional Investor: A Half-Time Report

    Get PDF
    Nothing that the Securities and Exchange Commission ( SEC ) has done in recent years has been as controversial or significant as its efforts to reform the proxy rules to permit greater communication among shareholders. Nothing that it has undertaken recently has also been left as incompletely or equivocally realized as these same efforts. That the SEC\u27s efforts at facilitating shareholder communication have been controversial and significant is by now a commonplace observation. That they are incomplete and equivocal requires more explanation. Although the discovery that an agency is behaving inconsistently is hardly a revelation, more than politics appears to be at work here. Fundamentally, the SEC has been attempting to broker marginal reform at a time when two fundamentally conflicting perspectives on institutional investors are competing for dominance. One side sees the consolidation of share ownership in the hands of institutional investors as a benign and progressive development; the other, as potentially ominous and disruptive. In this battle of paradigms, the SEC appears to be zealously and outspokenly-on both sides. The battle lines have been clearly drawn. On one side, a new generation of academics and reformers views the growth in institutional share ownership as promising a major revolution in business organization, one that signals the eventual end of the separation of ownership and control within public corporations. Indeed, in their view, the separation of ownership and control was never inevitable, but rather was politically imposed. In contrast to Professors Berle and Means, who argued that modem technology vastly increased the capital needs of the twentieth century corporation, thus forcing corporations to seek equity capital from a broader class of shareholders than could effectively maintain control over their managers, these new critics claim that ownership was separated from control as the result of political decisions, chiefly involving managerial manipulation of the regulatory system to protect corporate managers by constraining financial intermediaries. But for government interference, they contend, financial intermediaries-banks, mutual funds, insurance companies, and pension funds-would have assumed the same monitoring role in the United States as they allegedly have in Japan and Germany. For this new generation, the traditional problems of corporate law would shrink in significance (some even call them trivial) if institutional shareholders were permitted to monitor and replace corporate managers with less governmental interference
    corecore