169 research outputs found
Safety first portfolio choice based on financial and sustainability returns
This paper lays the mathematical foundations of the notion of an investment's sustainability return and investigates three different models of portfolio selection with probabilistic constraints for safety first investors caring about the financial and the sustainability consequences of their investments. The discussion of these chance-constrained programming problems for stochastic and deterministic sustainability returns includes theoretical results especially on the existence of a unique solution under certain conditions, an illustrating example, and a computational time analysis. Furthermore, we conclude that a simple convex combination of financial and sustainability returns - yielding a new univariate decision variable - is not sufficiently general.Finance; Socially Responsible Investing; Sustainability Value; Safety First Investor
Corporate scandals and the reliability of ESG assessments: evidence from an international sample
Over-investment or risk mitigation? Corporate social responsibility in Asia-Pacific, Europe, Japan, and the United States
Values-based and global systemically important banks: their stability and the impact of regulatory changes after the financial crisis on it
The effect of earnings management and tax aggressiveness on shareholder wealth and stock price crash risk of German companies
Horizontal equity in the U.S. tax and transfer system
We analyze the distributive justice of the combined burden of income taxes,
social security taxes and public transfers on employee households in the
United States on the federal level and in six member states. To investigate
whether the treatment of families by the aggregate tax and transfer system can
be regarded as âfairâ, we compare the equivalent incomes of eight different
household types. Using the concepts of horizontal equity and system-inherent
equivalence scales, we find evidence for a privileged treatment of families
with children and a low market income due to the earned income tax credit
(EIC), the child tax credit and the supplemental nutrition assistance program
(SNAP). If employment taxes are interpreted as taxes in the proper sense, we
obtain a favorable treatment of family households and especially married
couples for middle-sized market incomes. For high market incomes, we observe a
decreasing privilege for all family types. Regarding state tax and transfer
systems, temporary aid for needy families (TANF) substantially increases the
observed privilege for low-income families compared to singles, while the
analyzed state income taxes are generally in line with the federal tax scheme.
Overall, our results imply a significant contradiction in value judgments
within the U.S. tax and transfer system
The pricing of green bonds: external reviews and the shades of green
We investigate the asset pricing implications of the greenness of bonds. To estimate a green-pricing effect, we determine the âgreen bond premiumâ as the difference between the yields of matched conventional and green-labeled bonds. On a cross-sectional average, green bonds experience a statistically significant positive premium. This premium increases with external greenness evaluations, i.e., investors accept premiums of up to 5 basis points for bonds with a substantial environmental agenda. This external validation effect, which is strongest for bonds that are rated dark-green, may offset not incurring information costs, as this effect decreases with increasing age of bonds
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