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The Supply Theory of Value

Vlog: My Two Cents on ESG Investing

11/2/2021

2 Comments

 
I had much fun today discussing "Dissecting Green Returns" (Pastor, Stambaugh, and Taylor 2021) at the webinar hosted by the Jacobs Levy Equity Management Center for Quantitative Financial Research at the Wharton School. The webinar is available at this Wharton link, which contains Rob's presentation and my discussion.

Because the webinar is available only through 12/2/2021, I have posted a remake of my discussion on YouTube (
slides):


2 Comments
Umberto Sagliaschi
11/5/2021 05:29:55 am

Excluding tech/healthcare companies, I have the suspect that high ESG rated cyclical stocks are those investing less in fixed assets. Low I/A ceteris paribus means higher cost of equity in equilibrium, and the Investment CAPM strikes again. The "flows-theory" related to continuous shift of preference towards green stocks is certainly part of the story, but not the only explanation to the long-term over-performance of the "ESG factor".

Reply
Daniel Wheeler link
6/23/2022 04:40:45 pm

The ceteris paribus means higher cost of equity in equilibrium, and the Investment CAPM strikes again. Thank you for sharing your great post!

Reply



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    Lu Zhang

    A financial economist

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