Seminar 217, Risk Management: The Anatomy of Sustainability (Online)

Seminar 217, Risk Management: The Anatomy of Sustainability (Online)

Risk Seminar
Sep 29, 2020, 11:00 AM - 12:30 PM | Online | Happening As Scheduled
Ola Mahmoud, University of Basel (Speaker)

ABSTRACT: We present evidence that sustainability is inextricably linked with market-implied uncertainty. We derive an econometric decomposition of sustainability ratings yielding three orthogonal components capturing uncertainty, investor sentiment, and an idiosyncratic sustainability factor. Examining the shock of the COVID-19 pandemic to the US stock market in light of these explanatory...