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金融与财务学系系列讲座之292期

 

时   间：2023年11月20日（周一）13:30-15:00

地   点：史带楼504室

主   题：Active Fund Management when ESG Matters

演讲者：Doron Avramov  Professor of Finance, Reichman University

摘   要：

This paper develops and applies an information acquisition model to analyze active management when ESG matters. In equilibrium, sustainable investing leads mutual fund managers to acquire information when cross-asset ESG attributes and cross-fund ESG preferences are dispersed. Sustainability-based information decisions magnify fund heterogeneities in stock holdings and tracking errors, amplify the scope of active management, as well as reduce discount rates and improve price informativeness for underlying assets with sustainability profiles that depart from the average. Enforcing ESG-perceptive funds to adopt the optimal policies of ESG-indifferent funds leads to substantial utility losses, illustrating the economic significance of nonpecuniary motives.

简   介：

Doron Avramov is the Professor of Finance at Reichman University. Professor Avramov’s research interests are Stock Return Predictability, Asset Pricing Models, Bayesian Econometrics, Portfolio Selection, Market Anomalies, Mutual Funds, Machine Learning, Technical Analysis, ESG Investing. He received his Ph.D. in finance from the Wharton School of the University of Pennsylvania in 2000. His research has been published in the JF, JFE, RFS, MS, etc.

 

金融与财务学系

2023-11-16