Business Commons^™

Esg Significance In Relation To Corporate Bankruptcy Prediction, Sama Elkady

Theses and Dissertations

This thesis aims to enhance corporate risk assessment through studying ESG (Environmental, Social, and Governance) significance in modeling bankruptcy. Through using artificial intelligence’ natural language processing (NLP), we develop a proxy for ESG scoring based on companies annual reporting retrieved through EDGAR. We integrate the derived ESG score with traditional financial ratios used to calculate Altman’s Z-score (1968) in predicting bankruptcy. Through S&P’s Compustat, we obtain a sample of 108 healthy & bankrupt firms -spanning 14 years of fiscal observations- and match them through time and industry. We use stepwise GLM regression to estimate bankruptcy probability observing that ESG and …

But Is It Material? A Case Study Evaluating Climate Risk’S Place In Financial Disclosures, Matilda Lindberg

Student Theses and Dissertations

The year of 2022 highlighted the importance of understanding how Environment, Social, and Governance (hereafter, ESG) factors impact investors. By the end of 2021, 37.8 trillion USD had been invested in ESG funds, a number expected to grow to $53 trillion by the end of 2025. Despite this bullish projection, controversy has grown about the “materiality” of ESG factors, especially climate risks, as defined by the Securities and Exchange Commission (hereafter, SEC). On March 21, 2022, the SEC proposed rules to enhance the standardization of climate- related disclosures (hereafter The Proposal) to promote consistent, comparable, and reliable information for investors …

Navigating Uncertainty: The Role Of Gold, Silver, Oil, Cryptocurrency, And Esg Indices In The Mena Region, Rahaf Zakaria Sakr

Theses and Dissertations

This study examines the effectiveness of various financial instruments as hedges and safe havens during different market conditions in the MENA region. It compares traditional safe-haven investments ( gold, silver, and oil) and non-traditional safe-havens (cryptocurrencies and ESG stocks) to determine which investments function better as hedges and safe havens during different market conditions. The data covers eight years, starting in 2015 and ending in early 2023. DCC GARCH is utilized to examine time variation in conditional correlations. This study finds that Gold, Silver, and cryptocurrency can be considered strong hedges to the MENA market on average and weak safe …

Firm Size As A Moderator Of The Relationship Between Sustainability Practices And Organizational Performance In Banks, Abel Azuwueze Osuji

Walden Dissertations and Doctoral Studies

Bank managers are facing increasing pressure to adopt sustainable finance models that address stakeholders' diverse interests. It is important to understand how ESG strategies relate to corporate financial performance (CFP) to facilitate the adoption by bank leaders. Grounded in the triple bottom line and stakeholder theories, the purpose of this ex-post facto study was to examine the relationship between sustainability practices and the CFP of banks within the contingency of firm size. Secondary data on 226 global banks were collected from the Sustainalytics and FitchConnect databases. The results of the moderated multiple regression analysis indicated the two full models comprising …

Doing Well While Doing Good? The Cost Of Responsible Investing, Elizabeth Iwicki

CMC Senior Theses

In this paper, I estimate the monthly alpha of highly rated ESG stocks, with the motivation to assess the effects of ESG investors on public equity markets. I hypothesize, consistent with the motivating theory of Heinkel et al. (2001), that the shift in investor preferences toward ESG-friendly investments leads to the underperformance of a broad ESG portfolio relative to a portfolio of comparable stocks. I test my hypothesis using the methodology of Hong and Kacperczyk (2009) and Wallace (2022), where I apply the methods to an ESG portfolio rather than a “sin” portfolio. Consistent with my hypothesis, I find that …

An Evaluation Of Esg Funds And Their Performance, Mason Hook

Finance Undergraduate Honors Theses

Over the past decade, Environmental, Social, and Governance (ESG) oriented funds have seen a dramatic increase in inflows and many investors have chosen to replace traditional holdings with sustainable ones. Within 5 years, it is projected that ESG exchange traded funds and mutual funds will exceed $53 trillion. Many fund managers claim that ESG funds will outperform traditional funds in the long run. If this claim is accurate, many asset managers would have a fiduciary duty to invest in ESG products. While there is often a non-financial benefit to investing in ESG funds, this paper challenges the claim that they …

Esg Activities, Political Contributions, And Firm Performance, Ahmed W. Alam

University of New Orleans Theses and Dissertations

This dissertation is comprised of two distinct empirical papers which I document in two separate chapters. In the first chapter, I empirically examine the impact of banks’ environmental, social, and governance (ESG) practices on banking efficiency. Using a sample of 578 international banks over the years 2011-2019, I employ a data envelopment analysis (DEA) method to estimate banks’ technical efficiency scores. My baseline Tobit regressions reveal that high ESG performance significantly reduces banks’ efficiency. Further, I find that this relationship is non-linear at very high levels of ESG scores. These findings are consistent across the social (S) and governance (G) …

Essays On Green Finance, Elsa Allman

Dissertations, Theses, and Capstone Projects

Chapter 1: Pricing Climate Change Risk in Corporate Bonds

Using a firm’s geographic footprint to measure its exposure to sea level rise (SLR), I find that corporate bonds bear a climate risk premium upon issuance. A one standard deviation increase in firms’ SLR exposure is associated with a 7 basis point premium, representing a 3% increase in average yield spread. This effect is more pronounced for geographically concentrated firms, within industries vulnerable to extreme weather conditions, and after the Paris Agreement. I do not find evidence that credit rating agencies account for SLR exposure at bond issuance. Results are robust …