Année : 2020

 » A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from Green Investing and Sin Stock Exclusion »

Mardi | 2020-02-18 Salle des thèses 16h-17h20 Olivier David ZERBIB I show how sustainable investing affects asset returns through exclusionary screening and environmental, social, and governance (ESG) integration. I develop an asset pricing model with partial segmentation and disagreement. A taste premium clarifies the relationship between ESG and financial performance. Two exclusion premia, generalizing Merton’s […]

Skill and Value Creation in the Mutual Fund Industry

Mardi | 2020-01-28 B103 16h 17h20 Olivier SCAILLET We develop a simple, nonparametric approach for estimating the entire distributions of mutual fund skill and its economic value. Our approach avoids the challenge of specifying these distributions and accommodates the need to study jointly multiple skill measures. Our results show that the vast majority of the […]

Female Labor, Status and Decision Power

Mardi | 2020-01-14 Salle des thèses 16h – 17h20 Catherine BROS-BOBIN – Véronique GILLE – François MANIQUET Policy debates have shown a tendency to take the empowering effect of female labour supply for granted. This assumption in grounded in theoretical models of intra-household bargaining, where a woman’s autonomy is correlated with her bargaining power that […]