SUSTAINABLE INVESTMENTS IN FINANCE
Syllabus
EN
IT
Learning Objectives
LEARNING OUTCOMES:
By the end of the course, students will have a solid understanding of sustainable investments and their role in financial decision-making. They will acquire analytical skills to evaluate ESG factors and apply them in portfolio management and investment strategies.
KNOWLEDGE AND UNDERSTANDING:
- Gain a comprehensive understanding of sustainable finance principles, including ESG (Environmental, Social, and Governance) criteria.
- Learn how financial markets integrate sustainability and how regulations influence responsible investing.
- Understand the role of institutional investors and financial intermediaries in promoting sustainable investments.
APPLYING KNOWLEDGE AND UNDERSTANDING:
- Analyze and evaluate investment opportunities incorporating ESG factors using financial models.
- Apply sustainability criteria in portfolio construction and risk assessment.
- Use empirical data and econometric techniques to assess the impact of ESG factors on financial performance.
MAKING JUDGEMENTS:
- Develop critical thinking skills to assess the ethical and financial implications of sustainable investments.
- Evaluate the trade-offs between financial performance and sustainability objectives
- Formulate investment strategies based on a balance of risk, return, and ESG considerations.
COMMUNICATION SKILLS:
- Present and discuss sustainable investment strategies effectively in both written and oral formats.
- Communicate financial analyses and ESG-related insights to professional and non-expert audiences.
- Work collaboratively in teams to assess and propose sustainable financial solutions.
LEARNING SKILLS:
- Develop independent learning capabilities to stay updated with evolving trends in sustainable finance.
- Enhance problem-solving abilities by integrating financial theory with real-world sustainability challenges.
- Acquire the ability to engage in continuous professional development in the field of responsible investing.
By the end of the course, students will have a solid understanding of sustainable investments and their role in financial decision-making. They will acquire analytical skills to evaluate ESG factors and apply them in portfolio management and investment strategies.
KNOWLEDGE AND UNDERSTANDING:
- Gain a comprehensive understanding of sustainable finance principles, including ESG (Environmental, Social, and Governance) criteria.
- Learn how financial markets integrate sustainability and how regulations influence responsible investing.
- Understand the role of institutional investors and financial intermediaries in promoting sustainable investments.
APPLYING KNOWLEDGE AND UNDERSTANDING:
- Analyze and evaluate investment opportunities incorporating ESG factors using financial models.
- Apply sustainability criteria in portfolio construction and risk assessment.
- Use empirical data and econometric techniques to assess the impact of ESG factors on financial performance.
MAKING JUDGEMENTS:
- Develop critical thinking skills to assess the ethical and financial implications of sustainable investments.
- Evaluate the trade-offs between financial performance and sustainability objectives
- Formulate investment strategies based on a balance of risk, return, and ESG considerations.
COMMUNICATION SKILLS:
- Present and discuss sustainable investment strategies effectively in both written and oral formats.
- Communicate financial analyses and ESG-related insights to professional and non-expert audiences.
- Work collaboratively in teams to assess and propose sustainable financial solutions.
LEARNING SKILLS:
- Develop independent learning capabilities to stay updated with evolving trends in sustainable finance.
- Enhance problem-solving abilities by integrating financial theory with real-world sustainability challenges.
- Acquire the ability to engage in continuous professional development in the field of responsible investing.
Prerequisites
There are no prerequisites to attend this course.
Program
Week 1: CSR from a Corporate Finance and Asset Pricing Perspective
The relationship between firms and markets in an ESG framework highlights a fundamental shift. Traditional corporate finance focuses on profit maximization for shareholders, while CSR and ESG integration reorient firms toward stakeholder risk minimization. This shift not only changes corporate strategy, but also affects how markets price information, leading to the emergence of an ESG systematic risk factor in asset pricing. Recent studies show that CSR influences market performance, firm valuation, and risk-adjusted returns by reducing idiosyncratic risk, increasing resilience in crises, and lowering funding costs.
Take Home Week 1. Slide presentation: Slide one - Research/Work idea + Data Exercise
Week 2: Socially Responsible Investment (SRI)
Socially Responsible Investment (SRI) involves integrating ESG factors into investment strategies. Research suggests that SRI funds can perform similarly to conventional funds, and their risk-return profile is often comparable or even superior. Moreover, SRI investments are increasingly attractive to a growing class of socially conscious investors.
Take Home Week 2. Slide presentation: Slide two - Literature review + Data Exercise
Week 3: ESG Market Equilibrium
The market equilibrium for ESG-related investments arises from the interaction between demand and supply. On the supply side, firm commitment to CSR translates into ESG compliance levels that influence expected cash flows, risk, and funding costs; on the demand side, SRI preferences, ownership, and flows shape investor clienteles and quoted prices. Their interaction sets the equilibrium price of ESG-related securities and can widen or narrow the wedge between fundamental value and market quotes. Building on empirical evidence that both forces matter in the SRI space.
Take Home Week 3. Slide presentation: Slide three - Raw data and estimation sample + Data Exercise
Week 4: Systematic ESG Risk Factor
Incorporating ESG factors into asset pricing models captures the systematic risks associated with the shift from profit maximization to stakeholder risk minimization. Building on the theoretical foundations of the first three weeks --- the firm-side supply of ESG compliance (Week I), the role of SRI demand (Week II), and the interaction of the two in shaping market equilibrium (Week III) --- the identification of a systematic ESG risk factor emerges as a natural consequence. Extending standard frameworks such as CAPM and Fama--French with an ESG-mimicking factor links firm compliance (supply) and investor preferences (demand) to expected returns. This approach enables testing both time-series and cross-sectional predictions, assessing interactions with size, value, and momentum factors, and distinguishing risk-driven premia from flow-driven effects through orthogonalization and robustness checks. The result is a clearer view of how ESG influences market risk, expected returns, and the relationship between fundamental and quoted prices.
Take Home Week 4. Slide presentation: Slide four - Model and Estimation Strategy + Data Exercise
Week 5: SR Mutual Funds and Portfolio Perspective
Mutual funds with an SR focus represent the portfolio-level extension of ESG investing. Just as firms differ in their level of ESG compliance (Week I) and investors channel demand through SRI preferences (Week II), funds aggregate these choices into diversified portfolios. An SR fund is essentially a weighted average of firm-level ESG compliance, where stock selection, screening, and tilting determine the fund’s ESG profile. This makes mutual funds a natural laboratory to study the transmission of ESG from the firm-level to the portfolio equilibrium, and to analyze the transition from systematic ESG risk (priced at the single-asset level, Week IV) to systemic ESG risk (arising through common holdings, flows, and network externalities across funds). Empirical evidence shows that SR focused funds display distinct risk–return profiles compared to conventional funds: they may face reduced diversification or lower traditional premia, but also exhibit greater resilience in crises and better alignment with social objectives. This dual perspective emphasizes how ESG affects not only firm valuation and factor models, but also the stability and performance of the financial system through investment vehicles used by end investors.
Take Home Week 5. Slide presentation: Slide five - Results + Data Exercise
Week 6: CO2 Emissions and Portfolio Management
One of the key issues within SRI is the role of carbon emissions in portfolio management. At the stock level, the literature documents a carbon premium: firms with higher emission intensity (brown stocks) earn higher excess returns, reflecting both systematic risk (e.g., regulatory and transition costs) and investor preferences (exclusion of polluting firms). At the mutual fund level, recent studies show that funds differ in their exposure to carbon risk, but do not fully diversify it. As a result, carbon emissions remain priced in fund returns. This highlights the dual relevance of CO2 risk: as a dimension of sustainable investment objectives and as a systematic factor influencing portfolio performance and financial stability.
Take Home Week 6. Slide presentation: Slide six - Conclusions + Data Exercise
The relationship between firms and markets in an ESG framework highlights a fundamental shift. Traditional corporate finance focuses on profit maximization for shareholders, while CSR and ESG integration reorient firms toward stakeholder risk minimization. This shift not only changes corporate strategy, but also affects how markets price information, leading to the emergence of an ESG systematic risk factor in asset pricing. Recent studies show that CSR influences market performance, firm valuation, and risk-adjusted returns by reducing idiosyncratic risk, increasing resilience in crises, and lowering funding costs.
Take Home Week 1. Slide presentation: Slide one - Research/Work idea + Data Exercise
Week 2: Socially Responsible Investment (SRI)
Socially Responsible Investment (SRI) involves integrating ESG factors into investment strategies. Research suggests that SRI funds can perform similarly to conventional funds, and their risk-return profile is often comparable or even superior. Moreover, SRI investments are increasingly attractive to a growing class of socially conscious investors.
Take Home Week 2. Slide presentation: Slide two - Literature review + Data Exercise
Week 3: ESG Market Equilibrium
The market equilibrium for ESG-related investments arises from the interaction between demand and supply. On the supply side, firm commitment to CSR translates into ESG compliance levels that influence expected cash flows, risk, and funding costs; on the demand side, SRI preferences, ownership, and flows shape investor clienteles and quoted prices. Their interaction sets the equilibrium price of ESG-related securities and can widen or narrow the wedge between fundamental value and market quotes. Building on empirical evidence that both forces matter in the SRI space.
Take Home Week 3. Slide presentation: Slide three - Raw data and estimation sample + Data Exercise
Week 4: Systematic ESG Risk Factor
Incorporating ESG factors into asset pricing models captures the systematic risks associated with the shift from profit maximization to stakeholder risk minimization. Building on the theoretical foundations of the first three weeks --- the firm-side supply of ESG compliance (Week I), the role of SRI demand (Week II), and the interaction of the two in shaping market equilibrium (Week III) --- the identification of a systematic ESG risk factor emerges as a natural consequence. Extending standard frameworks such as CAPM and Fama--French with an ESG-mimicking factor links firm compliance (supply) and investor preferences (demand) to expected returns. This approach enables testing both time-series and cross-sectional predictions, assessing interactions with size, value, and momentum factors, and distinguishing risk-driven premia from flow-driven effects through orthogonalization and robustness checks. The result is a clearer view of how ESG influences market risk, expected returns, and the relationship between fundamental and quoted prices.
Take Home Week 4. Slide presentation: Slide four - Model and Estimation Strategy + Data Exercise
Week 5: SR Mutual Funds and Portfolio Perspective
Mutual funds with an SR focus represent the portfolio-level extension of ESG investing. Just as firms differ in their level of ESG compliance (Week I) and investors channel demand through SRI preferences (Week II), funds aggregate these choices into diversified portfolios. An SR fund is essentially a weighted average of firm-level ESG compliance, where stock selection, screening, and tilting determine the fund’s ESG profile. This makes mutual funds a natural laboratory to study the transmission of ESG from the firm-level to the portfolio equilibrium, and to analyze the transition from systematic ESG risk (priced at the single-asset level, Week IV) to systemic ESG risk (arising through common holdings, flows, and network externalities across funds). Empirical evidence shows that SR focused funds display distinct risk–return profiles compared to conventional funds: they may face reduced diversification or lower traditional premia, but also exhibit greater resilience in crises and better alignment with social objectives. This dual perspective emphasizes how ESG affects not only firm valuation and factor models, but also the stability and performance of the financial system through investment vehicles used by end investors.
Take Home Week 5. Slide presentation: Slide five - Results + Data Exercise
Week 6: CO2 Emissions and Portfolio Management
One of the key issues within SRI is the role of carbon emissions in portfolio management. At the stock level, the literature documents a carbon premium: firms with higher emission intensity (brown stocks) earn higher excess returns, reflecting both systematic risk (e.g., regulatory and transition costs) and investor preferences (exclusion of polluting firms). At the mutual fund level, recent studies show that funds differ in their exposure to carbon risk, but do not fully diversify it. As a result, carbon emissions remain priced in fund returns. This highlights the dual relevance of CO2 risk: as a dimension of sustainable investment objectives and as a systematic factor influencing portfolio performance and financial stability.
Take Home Week 6. Slide presentation: Slide six - Conclusions + Data Exercise
Books
Academic papers and slides.
Bibliography
[1] Bauer R., Derwall J., Guenster N., and Koedijk K. The eco-efficiency premium puzzle. FinancialAnalysts Journal, 61(2):51–63, 2005a.
[2] Bauer R., Koedijk K., and Otten R. International evidence on ethical mutual fund performance andinvestment style. Journal of Banking & Finance, 29(7):1751–1767, 2005b.
[3] Bauer R., Otten R., and Rad A. Ethical investing in australia: Is there a financial penalty? PacificBasin Finance Journal, 14(1):33–48, 2006.
[4] Bauer R., Derwall J., Guenster N., and Koedijk K. The wages of social responsibility. European Finan-cial Management, 17(4):679–704, 2011.
[5] Bauer R., Derwall J., and Otten R. The ethical mutual fund performance debate: New evidence fromcanada. Journal of Business Ethics, 70(2):111–124, 2007.
[6] Becchetti L., Ciciretti R. and Dalò A., Fishing the corporate social responsibility risk factors. Journalof Financial Stability, 37:25–48, 2018.
[7] Becchetti L., Ciciretti R., Dalò A. and Herzel S., Socially responsible and conventional investmentfunds: performance comparison and the global financial crisis. Applied Economics, 47(25), 2541-2562, 2015.
[8] Bello Y. Socially responsible investing and portfolio diversification. Journal of Financial Research,28(1):41–57, 2005.
[9] Berg F., Koelbel J. F., and Rigobon R. Aggregate confusion: the divergence of esg ratings. Available at SSRN 3438533, 2020.
[10] Bollen N. Mutual fund attributes and investor behavior. Journal of Financial and Quantitative Analysis,42(3):683–708, 2007.
[11] Bolton P. and Kacperczyk M. Do investors care about carbon risk? National Bureau of EconomicResearch, 2020.
[12] Carhart M. M., On persistence in mutual fund performance. The Journal of Finance, 52(1):57–82,1997
[13] Campbell J. Y., Lo A. W. C. and MacKinlay A. C., The econometrics of financial markets. PrincetonUniversity press, 1997.
[14] Cerqueti R., Ciciretti R., Dalò A. and Nicolosi M., A new measure of the resilience for networks offunds with applications to socially responsible investments, Physica A, 593, 2022.
[15] Cerqueti R., Ciciretti R., Dalò A. and Nicolosi M., ESG Investing: A Chance to Reduce Systemic Risk,Journal of Financial Stability, 54, 2021.
[16] Ciciretti R., Dalò A. and Ferri G., Herding and Anti-Herding Across ESG Funds, CEIS Research PaperNo. 524, 2021.
[17] Ciciretti R., Dalò A. and Dam L., The contributions of betas versus characteristics to the ESG premiumJournal of Empirical Finance 71, 104-124, 2023.
[18] Ciciretti, R., Dalò, A. and Puopolo G. W., Mutual Fund Returns and CO2 Emissions, MIMEO, 2024.
[19] Becchetti, L., Ciciretti, R. and I. Hasan. Corporate Social Responsibility, Stakeholder Risk and Id-iosyncratic Volatility. Journal of Corporate Finance, Vol. 35, pp. 297-309, 2015.
[20] Becchetti, L., Ciciretti, R. and A. Giovannelli. Corporate Social Responsibility and Earnings Forecasting Unbiasedness. Journal of Banking and Finance, Vol. 37(9), pp. 3654-3668, 2013.
[21] Chemmanur T. J., Rajaiya H., and Sheng J. How does soft information affect external firm financing?evidence from online employee ratings. Available at SSRN 3507695, 2020.
[22] Chen J., Hong H., Huang M., and Kubik J. D. Does fund size erode mutual fund performance? therole of liquidity and organization. The American Economic Review, 94(5):1276–1302, 2004.
[23] Dasgupta A., Prat A., and Verardo M. The price impact of institutional herding. The Review of FinancialStudies, 24(3):892–925, 2011.
[24] Delpini D., Battiston S., Caldarelli G., and Riccaboni M. Systemic risk from investment similarities.PloS one, 14(5), 2019.
[25] Derwall J., Koedijk K., and Horst J. T. A tale of values-driven and profit-seeking social investor. Jour-nal of Banking & Finance, 35(8):2137–2147, 2011.
[26] Dyck A., Lins K. V., Roth L., and Wagner H. F. Do institutional investors drive corporate social respon-sibility? international evidence. Journal of Financial Economics, 131(3):693–714, 2019.
[27] El Ghoul S. and Karoui A. Does corporate social responsibility affect mutual fund performance andflows? Journal of Banking & Finance, 77:53–63, 2017.
[28] Fama E. and French K. R., International tests of a five-factor asset pricing model. Journal of FinancialEconomics, 123(3):441–463, 2017.
[29] Fama E. and French K. R., A five-factor asset pricing model. Journal of Financial Economics, 116(1):1–22,2015.
[30] Fama E. and French K. R., Size, value, and momentum in international stock returns. Journal ofFinancial Economics, 105(3):457–472, 2012.
[31] Fama E. and French K. R., Multifactor explanations of asset pricing anomalies. The Journal of Finance,51(1):55–84, 1996.
[32] Fama E. and French K. R., Common risk factors in the returns on stocks and bonds. Journal ofFinancial Economics, 33(1):3–53, 1993.
[33] Fama E. and French K. R., The cross-section of expected stock returns. The Journal of Finance,47(2):427–465, 1992.
[34] Fama E. and MacBeth J. D., Risk, return, and equilibrium: Empirical tests. The Journal of PoliticalEconomy, 81(3):607–636, 1973.
[35] Flammer C. Corporate social responsibility and shareholder reaction: The environmental awarenessof investors. The Journal of Finance, 56(3):758–781, 2013.
[36] Grinblatt M., Titman S., andWermers R. Momentum investment strategies, portfolio performance,and herding: A study of mutual fund behavior. The American Economic Review, 85(5):1088–1105,1995.
[37] Hartzmark S. and A. S. Do investors value sustainability? a natural experiment examining rankingand fund flows. The Journal of Finance, 74(6):2789–2837, 2019.
[38] Heinkel R., Kraus A., and Zechner J. The effect of green investment on corporate behavior. Journalof financial and quantitative analysis, 36(4):431–449, 2001.
[39] Hong H. and Kacperczyk M. The price of sin: The effects of social norms on markets. Journal ofFinancial Economics, 93(1):15–36, 2009.
[40] Huynh T. and Xia Y. Climate change news risk and corporate bond returns. Journal of Financial andQuantitative Analysis, 2020.
[41] Ibragimov R., Jaffee D., and Walden J. Diversification disaster. Journal of Financial Economics, 99(2):333–348, 2011.
[42] Jegadeesh N. and Titman S., Returns to buying winners and selling losers: Implications for stockmarket efficiency. The Journal of Finance, 48(1), 65-91, 1993.
[43] Jensen M. C., The performance of mutual funds in the period 1945-1964. The Journal of Finance,23(2):389–416, 1968.
[44] Jiang H. and Verardo M. Does herding behavior reveal skill? an analysis of mutual fund performance.The Journal of Finance, 73(5):2229–2269, 2018.
[45] Joliet R. and Titova Y. Equity sri funds vacillate between ethics and money: An analysis of the funds’stock holding decisions. Journal of Banking & Finance, 97:70–86, 2018.
[46] Kim Y., Li H., and Li S. Corporate social responsibility and stock price crash risk. Journal of Banking& Finance, 43:1–13, 2014.
[47] Lakonishok J., Shleifer A., and Vishn R. The impact of institutional trading on stock prices. Journalof Financial Economics, 32(1):23–43, 1992.
[48] Lintner J., The valuation of risk assets and the selection of risky investments in stock portfolios andcapital budgets. The Review of Economics and Statistics, 47(3):13–37, 1965.
[49] Lins K. V., Servaes H., and Tamayo A. Social capital, trust, and firm performance: The value ofcorporate social responsibility during the financial crisis. The Journal of Finance, 72(4):1785–1824,2017.
[50] Luo A. and Balvers R. Social screens and systematic investor boycott risk. Journal of Financial andQuantitative Analysis, 52(1):365–399, 2017.
[51] Mossin J., Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society,34(4):768–783, 1966.
[52] Naaraayanan S. L., Sachdeva K., and Sharma V. The real effects of environmental activist investing.Available at SSRN 3483692, 2020.
[53] Pastor L., Stambaugh R., and Taylor L. A. Sustainable investing in equilibrium. Working Paper, 2019.
[54] Patel S. and Sarkissian S. To group or not to group? evidence from mutual fund databases. Journalof Financial and Quantitative Analysis, 52(5):1989–2021, 2017.
[55] Renneboog L., Horst J. T., and Zhang C. Socially responsible investments: Institutional aspects, per-formance, and investor behavior. Journal of Banking & Finance, 32(9):1723–1742, 2008a.
[56] Renneboog L., Horst J. T., and Zhang C. The price of ethics and stakeholder governance: The perfor-mance of socially responsible mutual funds. Journal of Corporate Finance, 14(3):302–322, 2008b.
[57] Roncoroni A., Battiston S., Farfàn L. O. L. E., and Jaramillo S. M. Climate risk and financial stabilityin the network of banks and investment funds. Available at SSRN 3356459, 2019.
[58] Sharpe W. F., Capital asset prices: A theory of market equilibrium under conditions of risk. TheJournal of Finance, 19(3):425–442, 1964.
[59] Stiglitz J. E. Risk and global economic architecture: Why full financial integration may be undesir-able. American Economic Review, 100(2):388–92, 2010.
[2] Bauer R., Koedijk K., and Otten R. International evidence on ethical mutual fund performance andinvestment style. Journal of Banking & Finance, 29(7):1751–1767, 2005b.
[3] Bauer R., Otten R., and Rad A. Ethical investing in australia: Is there a financial penalty? PacificBasin Finance Journal, 14(1):33–48, 2006.
[4] Bauer R., Derwall J., Guenster N., and Koedijk K. The wages of social responsibility. European Finan-cial Management, 17(4):679–704, 2011.
[5] Bauer R., Derwall J., and Otten R. The ethical mutual fund performance debate: New evidence fromcanada. Journal of Business Ethics, 70(2):111–124, 2007.
[6] Becchetti L., Ciciretti R. and Dalò A., Fishing the corporate social responsibility risk factors. Journalof Financial Stability, 37:25–48, 2018.
[7] Becchetti L., Ciciretti R., Dalò A. and Herzel S., Socially responsible and conventional investmentfunds: performance comparison and the global financial crisis. Applied Economics, 47(25), 2541-2562, 2015.
[8] Bello Y. Socially responsible investing and portfolio diversification. Journal of Financial Research,28(1):41–57, 2005.
[9] Berg F., Koelbel J. F., and Rigobon R. Aggregate confusion: the divergence of esg ratings. Available at SSRN 3438533, 2020.
[10] Bollen N. Mutual fund attributes and investor behavior. Journal of Financial and Quantitative Analysis,42(3):683–708, 2007.
[11] Bolton P. and Kacperczyk M. Do investors care about carbon risk? National Bureau of EconomicResearch, 2020.
[12] Carhart M. M., On persistence in mutual fund performance. The Journal of Finance, 52(1):57–82,1997
[13] Campbell J. Y., Lo A. W. C. and MacKinlay A. C., The econometrics of financial markets. PrincetonUniversity press, 1997.
[14] Cerqueti R., Ciciretti R., Dalò A. and Nicolosi M., A new measure of the resilience for networks offunds with applications to socially responsible investments, Physica A, 593, 2022.
[15] Cerqueti R., Ciciretti R., Dalò A. and Nicolosi M., ESG Investing: A Chance to Reduce Systemic Risk,Journal of Financial Stability, 54, 2021.
[16] Ciciretti R., Dalò A. and Ferri G., Herding and Anti-Herding Across ESG Funds, CEIS Research PaperNo. 524, 2021.
[17] Ciciretti R., Dalò A. and Dam L., The contributions of betas versus characteristics to the ESG premiumJournal of Empirical Finance 71, 104-124, 2023.
[18] Ciciretti, R., Dalò, A. and Puopolo G. W., Mutual Fund Returns and CO2 Emissions, MIMEO, 2024.
[19] Becchetti, L., Ciciretti, R. and I. Hasan. Corporate Social Responsibility, Stakeholder Risk and Id-iosyncratic Volatility. Journal of Corporate Finance, Vol. 35, pp. 297-309, 2015.
[20] Becchetti, L., Ciciretti, R. and A. Giovannelli. Corporate Social Responsibility and Earnings Forecasting Unbiasedness. Journal of Banking and Finance, Vol. 37(9), pp. 3654-3668, 2013.
[21] Chemmanur T. J., Rajaiya H., and Sheng J. How does soft information affect external firm financing?evidence from online employee ratings. Available at SSRN 3507695, 2020.
[22] Chen J., Hong H., Huang M., and Kubik J. D. Does fund size erode mutual fund performance? therole of liquidity and organization. The American Economic Review, 94(5):1276–1302, 2004.
[23] Dasgupta A., Prat A., and Verardo M. The price impact of institutional herding. The Review of FinancialStudies, 24(3):892–925, 2011.
[24] Delpini D., Battiston S., Caldarelli G., and Riccaboni M. Systemic risk from investment similarities.PloS one, 14(5), 2019.
[25] Derwall J., Koedijk K., and Horst J. T. A tale of values-driven and profit-seeking social investor. Jour-nal of Banking & Finance, 35(8):2137–2147, 2011.
[26] Dyck A., Lins K. V., Roth L., and Wagner H. F. Do institutional investors drive corporate social respon-sibility? international evidence. Journal of Financial Economics, 131(3):693–714, 2019.
[27] El Ghoul S. and Karoui A. Does corporate social responsibility affect mutual fund performance andflows? Journal of Banking & Finance, 77:53–63, 2017.
[28] Fama E. and French K. R., International tests of a five-factor asset pricing model. Journal of FinancialEconomics, 123(3):441–463, 2017.
[29] Fama E. and French K. R., A five-factor asset pricing model. Journal of Financial Economics, 116(1):1–22,2015.
[30] Fama E. and French K. R., Size, value, and momentum in international stock returns. Journal ofFinancial Economics, 105(3):457–472, 2012.
[31] Fama E. and French K. R., Multifactor explanations of asset pricing anomalies. The Journal of Finance,51(1):55–84, 1996.
[32] Fama E. and French K. R., Common risk factors in the returns on stocks and bonds. Journal ofFinancial Economics, 33(1):3–53, 1993.
[33] Fama E. and French K. R., The cross-section of expected stock returns. The Journal of Finance,47(2):427–465, 1992.
[34] Fama E. and MacBeth J. D., Risk, return, and equilibrium: Empirical tests. The Journal of PoliticalEconomy, 81(3):607–636, 1973.
[35] Flammer C. Corporate social responsibility and shareholder reaction: The environmental awarenessof investors. The Journal of Finance, 56(3):758–781, 2013.
[36] Grinblatt M., Titman S., andWermers R. Momentum investment strategies, portfolio performance,and herding: A study of mutual fund behavior. The American Economic Review, 85(5):1088–1105,1995.
[37] Hartzmark S. and A. S. Do investors value sustainability? a natural experiment examining rankingand fund flows. The Journal of Finance, 74(6):2789–2837, 2019.
[38] Heinkel R., Kraus A., and Zechner J. The effect of green investment on corporate behavior. Journalof financial and quantitative analysis, 36(4):431–449, 2001.
[39] Hong H. and Kacperczyk M. The price of sin: The effects of social norms on markets. Journal ofFinancial Economics, 93(1):15–36, 2009.
[40] Huynh T. and Xia Y. Climate change news risk and corporate bond returns. Journal of Financial andQuantitative Analysis, 2020.
[41] Ibragimov R., Jaffee D., and Walden J. Diversification disaster. Journal of Financial Economics, 99(2):333–348, 2011.
[42] Jegadeesh N. and Titman S., Returns to buying winners and selling losers: Implications for stockmarket efficiency. The Journal of Finance, 48(1), 65-91, 1993.
[43] Jensen M. C., The performance of mutual funds in the period 1945-1964. The Journal of Finance,23(2):389–416, 1968.
[44] Jiang H. and Verardo M. Does herding behavior reveal skill? an analysis of mutual fund performance.The Journal of Finance, 73(5):2229–2269, 2018.
[45] Joliet R. and Titova Y. Equity sri funds vacillate between ethics and money: An analysis of the funds’stock holding decisions. Journal of Banking & Finance, 97:70–86, 2018.
[46] Kim Y., Li H., and Li S. Corporate social responsibility and stock price crash risk. Journal of Banking& Finance, 43:1–13, 2014.
[47] Lakonishok J., Shleifer A., and Vishn R. The impact of institutional trading on stock prices. Journalof Financial Economics, 32(1):23–43, 1992.
[48] Lintner J., The valuation of risk assets and the selection of risky investments in stock portfolios andcapital budgets. The Review of Economics and Statistics, 47(3):13–37, 1965.
[49] Lins K. V., Servaes H., and Tamayo A. Social capital, trust, and firm performance: The value ofcorporate social responsibility during the financial crisis. The Journal of Finance, 72(4):1785–1824,2017.
[50] Luo A. and Balvers R. Social screens and systematic investor boycott risk. Journal of Financial andQuantitative Analysis, 52(1):365–399, 2017.
[51] Mossin J., Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society,34(4):768–783, 1966.
[52] Naaraayanan S. L., Sachdeva K., and Sharma V. The real effects of environmental activist investing.Available at SSRN 3483692, 2020.
[53] Pastor L., Stambaugh R., and Taylor L. A. Sustainable investing in equilibrium. Working Paper, 2019.
[54] Patel S. and Sarkissian S. To group or not to group? evidence from mutual fund databases. Journalof Financial and Quantitative Analysis, 52(5):1989–2021, 2017.
[55] Renneboog L., Horst J. T., and Zhang C. Socially responsible investments: Institutional aspects, per-formance, and investor behavior. Journal of Banking & Finance, 32(9):1723–1742, 2008a.
[56] Renneboog L., Horst J. T., and Zhang C. The price of ethics and stakeholder governance: The perfor-mance of socially responsible mutual funds. Journal of Corporate Finance, 14(3):302–322, 2008b.
[57] Roncoroni A., Battiston S., Farfàn L. O. L. E., and Jaramillo S. M. Climate risk and financial stabilityin the network of banks and investment funds. Available at SSRN 3356459, 2019.
[58] Sharpe W. F., Capital asset prices: A theory of market equilibrium under conditions of risk. TheJournal of Finance, 19(3):425–442, 1964.
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Teaching methods
Theoretical lectures by the professor.
Practice sessions where students present their ongoing work and engage in discussions with their peers under the instructor supervision.
Practice sessions where students present their ongoing work and engage in discussions with their peers under the instructor supervision.
Exam Rules
Class participation (30%): evaluation of weekly work on the slide presentation.
Final oral exam (70%): students present and discuss the topic of their expanded slide presentation in public speech + Data Results (15 slides). Student are only allowed to sit the exam twice. The grade of the resit will be registered (included a mark of "fail"). Students present their chosen topic and their data results in a public presentation, supported by 15 slides divided into five sections (research idea, literature, data and estimation dataset, results, and conclusions).Students are allowed to take the exam only twice. It is not possible to retake the exam twice in the same session. The grade from a repeated exam attempt will be recorded, including a possible "fail" grade.
All students are actively involved in the learning process throughout the course weeks. During the weekly exercises (and while preparing the slide presentation and data analysis as a weekly take-home, TH), they are required to comment on their peers' presentations. The preparation of the presentation at home is based on the student’s chosen topic and follows a weekly schedule. By the end of the six weeks, all parts of the concise presentation will have been covered by the student, ensuring that each student is prepared to take the final exam and demonstrate their learning outcomes.
The criteria to formulate the final grade expressed in 30 over 30 are the following
- Fail: significant inaccuracies in knowledge and in understanding topics; limited analysis and synthesis skills, frequent generalizations.
- 18-20: sufficient knowledge and understanding of topics with some lacks; sufficient analysis, synthesis, and independent judgment skills.
- 21-23: standard knowledge and understanding of topics; pritty correct analysis and synthesis skills with coherent logical argumentation.
- 24-26: good knowledge and understanding of topics; good analysis and synthesis skills with rigorous argumentation and approach.
- 27-29: comprehensive knowledge and understanding of topics; remarkable analysis and synthesis skills. Good and independent judgment.
- 30-30L: excellent level of knowledge and understanding of topics. Remarkable analysis, synthesis, and independent level of judgment skills. Arguments expressed in original way.
Final oral exam (70%): students present and discuss the topic of their expanded slide presentation in public speech + Data Results (15 slides). Student are only allowed to sit the exam twice. The grade of the resit will be registered (included a mark of "fail"). Students present their chosen topic and their data results in a public presentation, supported by 15 slides divided into five sections (research idea, literature, data and estimation dataset, results, and conclusions).Students are allowed to take the exam only twice. It is not possible to retake the exam twice in the same session. The grade from a repeated exam attempt will be recorded, including a possible "fail" grade.
All students are actively involved in the learning process throughout the course weeks. During the weekly exercises (and while preparing the slide presentation and data analysis as a weekly take-home, TH), they are required to comment on their peers' presentations. The preparation of the presentation at home is based on the student’s chosen topic and follows a weekly schedule. By the end of the six weeks, all parts of the concise presentation will have been covered by the student, ensuring that each student is prepared to take the final exam and demonstrate their learning outcomes.
The criteria to formulate the final grade expressed in 30 over 30 are the following
- Fail: significant inaccuracies in knowledge and in understanding topics; limited analysis and synthesis skills, frequent generalizations.
- 18-20: sufficient knowledge and understanding of topics with some lacks; sufficient analysis, synthesis, and independent judgment skills.
- 21-23: standard knowledge and understanding of topics; pritty correct analysis and synthesis skills with coherent logical argumentation.
- 24-26: good knowledge and understanding of topics; good analysis and synthesis skills with rigorous argumentation and approach.
- 27-29: comprehensive knowledge and understanding of topics; remarkable analysis and synthesis skills. Good and independent judgment.
- 30-30L: excellent level of knowledge and understanding of topics. Remarkable analysis, synthesis, and independent level of judgment skills. Arguments expressed in original way.