Sustainable Finance and ESG - JEM339

• Anglický název: Sustainable Finance and ESG
• Český název: Sustainable Finance and ESG
• Zajišťuje: Institut ekonomických studií (23-IES)
• Fakulta: Fakulta sociálních věd
• Platnost: od 2024
• Semestr: zimní
• E-Kredity: 5
• Způsob provedení zkoušky: zimní s.:písemná
• Rozsah, examinace: zimní s.:2/0, Zk [HT]
• Počet míst: 25 / neurčen (neurčen)
• Minimální obsazenost: neomezen
• 4EU+: ne
• Virtuální mobilita / počet míst pro virtuální mobilitu: ne
• Stav předmětu: vyučován
• Jazyk výuky: angličtina
• Způsob výuky: prezenční
• Poznámka: předmět je možno zapsat mimo plán; povolen pro zápis po webu; při zápisu přednost, je-li ve stud. plánu
• Garant: doc. PhDr. Martin Gregor, Ph.D.; prof. PhDr. Petr Teplý, Ph.D.
• Vyučující: doc. PhDr. Martin Gregor, Ph.D.; prof. PhDr. Petr Teplý, Ph.D.
• Třída: Courses for incoming students

Anotace

Sustainable finance and ESG is a rapidly growing subfield of modern finance spanning across asset pricing, banking, corporate finance, and corporate governance. In this course, we introduce into main terms, topics, instruments, trends, and issues in sustainable finance and ESG. The first part covers reporting, indexing, and risk management. The next part covers green and sustainable bonds and ESG investing. Additionally, we cover the recent theory and evidence on both financial and real consequences of sustainable finance in economies where investors, workers, and consumers have heterogeneous views over the value and impact of ESG.

Poslední úprava: Gregor Martin, doc. PhDr., Ph.D. (18.12.2024)

Cíl předmětu

Having passed the course, the students will be able to:

• evaluate sustainability and ESG metrics
• apply the essentials of carbon footprint methodology (especially the GHG protocol)
• incorporate ESG factors and risks in financial decisions
• build a credit-risk scoring model with the ESG data
• understand the construction of green and sustainable products, including ESG portfolios
• describe and analyze the market-wide consequences of ESG investing

Poslední úprava: Gregor Martin, doc. PhDr., Ph.D. (18.12.2024)

Podmínky zakončení předmětu

40% assignments

30% presentation of a selected academic paper (6 teams per 3-4 students)

30% final test, covering the basic terms, formulas, and all presented papers (cumulative, closed book, in Moodle with their computers)

If you are an international student and need an early exam (as you are leaving Prague and not returning in January), let us know as soon as possible.

 

Exam dates

Monday, January 13, 14:00, Room 105

Monday, January 27, 14:00, Room 105

Monday, February 10, 14:00, Room 105

 

Team presentation

You are expected to create teams with 4 members and prepare the presentation together.

Please choose a paper from the list on the course webpage or find another recent paper with a similar level of analysis (you may use the links provided on the course webpage).

Please send the names of the team members and the proposed paper by email to Martin Gregor (martin.gregor AT fsv.cuni.cz) with title “JEM339 Team” until Thursday, October 17. Put emails of all team members into CC.

Wait for confirmation by email. The first-come-first-serve rule applies. Be ready to have an alternative paper in the case your paper is not eligible or is already taken by another team. 

Our aim is to have the list finished on October 22.

 

Presentations 

Your team has 30 minutes for presentation. The presentation can be interrupted by clarifying questions from the audience.

The papers are very complex: We recommend focusing on the main message, and cover only those details that can be thoroughly explained.

On the coursepage, we provide a template for a presentation, but your team can of course change it depending on the content of the paper.

The discussion is 10 minutes. We ask all students to be active during discussions. 

Be ready and able to answer even the trickiest questions.

 

Evaluating presentations

• 25% Introduction, Motivation, Background (Parts I-III) - Is the key problem in the paper clearly explained? Is the problem sufficiently well-motivated?

• 25% Methods (Parts IV-V) - Is it clearly explained how exactly the problem is solved/addressed in the paper? Is the method introduced in an accessible way?

• 25% Results and Interpretation (Parts VI-VII) - Are results clear and unambiguous? Is there a discussion of robustness? Is it explained how the paper fits the broader literature in economics and finance?

• 25% Questions - Are questions addressed satisfactorily and succinctly?

 

December 3

Andersen, S., Chebotarev, D., Filali-Adib, F. Z., Nielsen, K. M. (2024). Rich and responsible: Is ESG a luxury good? (No. 202). Danmarks Nationalbank Working Papers.

• Shira Shenkar, Maša Lončar, Farrah Dolores Sheffer, Gal Rozenblum Hazan

Moss, A., Naughton, J. P., Wang, C. (2024). The irrelevance of environmental, social, and governance disclosure to retail investors. Management Science, 70(4), 2626-2644.

• Dayal, Arooshi, Passmore Chilomo, Mayu Takano, Kamil Jeníček
  

December 10

Krueger, P., Sautner, Z., Tang, D. Y., Zhong, R. (2024). The effects of mandatory ESG disclosure around the world. Journal of Accounting Research. 

• Daniela Vandasová, Lukas Vorel, Marek Dana, Martin Vondrasek

Ceccarelli, M., Ramelli, S., Wagner, A. F. (2024). Low carbon mutual funds. Review of Finance, 28(1), 45-74.

• Sára Štěpánová, Josefína Schusterová, Thi Hai Yen Dang, Barbora Skoumalová

December 17

Pástor, Ľ., Stambaugh, R. F., Taylor, L. A. (2022). Dissecting green returns. Journal of Financial Economics, 146(2), 403-424.

• Jakub Schrimpel, József Bence László, Anna Hvězdová, TBC

Levit, D., Malenko, N., Maug, E. (2024). Trading and shareholder democracy. The Journal of Finance, 79(1), 257-304.

• Kateřina Švíková, Kristýna Coufalová, Anita Baudyšová, David Krameš

Poslední úprava: Gregor Martin, doc. PhDr., Ph.D. (10.12.2024)

Literatura

CFA Institute (2024). Certificate in ESG Investing Curriculum: ESG Investing Official Training Manual, CFA Institute.

Edmans, A. (2023). The end of ESG. Financial Management, 52(1), 3-17.

Kräussl, R., Oladiran, T., Stefanova, D. (2024). A review on ESG investing: Investors’ expectations, beliefs and perceptions. Journal of Economic Surveys, 38, 476–502.

Matos, P. (2020). ESG and responsible institutional investing around the world: A critical review. CFA Institute Research Foundation.

Starks, L. T. (2023). Presidential address: Sustainable finance and ESG issues—Value versus values. Journal of Finance, 78(4), 1837-1872.

Thompson, S. (2023). Green and sustainable finance: principles and practice. 2nd edition, London: Kogan Page.

Preliminary topics for presentations

1. Andersen, S., Chebotarev, D., Filali-Adib, F. Z., Nielsen, K. M. (2024). Rich and responsible: Is ESG a luxury good? (No. 202). Danmarks Nationalbank Working Papers.

2. Berg, F., Koelbel, J. F., Rigobon, R. (2022). Aggregate confusion: The divergence of ESG ratings. Review of Finance, 26(6), 1315-1344.

3. Berg, F., Heeb, F., Kölbel, J. F. (2022). The economic impact of ESG ratings. Available at SSRN: https://dx.doi.org/10.2139/ssrn.4088545

4. Ceccarelli, M., Ramelli, S., Wagner, A. F. (2024). Low carbon mutual funds. Review of Finance, 28(1), 45-74.

5. Cole, S. A., Jeng, L., Lerner, J., Rigol, N., Roth, B. (2023). What Do Impact Investors Do Differently?. NBER Working Paper 31898. https://www.nber.org/papers/w31898 

6. Gormsen, N. J., Huber, K., Oh, S. S. (2024). Climate capitalists. NBER Working Paper 32933. https://www.nber.org/papers/w32933

7. Heath, D., Macciocchi, D., Michaely, R., C. Ringgenberg, M. (2023). Does socially responsible investing change firm behavior?. Review of Finance, 27(6), 2057-2083.

8. Jeffers, J., Lyu, T., Posenau, K. (2024). The risk and return of impact investing funds. Journal of Financial Economics, 161, 103928.

9. Krueger, P., Sautner, Z., Tang, D. Y., Zhong, R. (2024). The effects of mandatory ESG disclosure around the world. Journal of Accounting Research. https://doi.org/10.1111/1475-679X.12548

10. Levit, D., Malenko, N., Maug, E. (2024). Trading and shareholder democracy. The Journal of Finance, 79(1), 257-304.

11. Li, W., Watts, E.M., Zhu, C. (2024) Retail investors and ESG news. Journal of Accounting and Economics, 101719. https://doi.org/10.1016/j.jacceco.2024.101719 + discussion at: Sloan, R. G. (2024). Retail investors and ESG news: A discussion. Journal of Accounting and Economics, 101730. https://doi.org/10.1016/j.jacceco.2024.101730 

12. Michaely, R., Ordonez-Calafi, G., Rubio, S. (2024). Mutual funds’ strategic voting on environmental and social issues. Review of Finance, 28(5), 1575-1610.

13. Moss, A., Naughton, J. P., Wang, C. (2024). The irrelevance of environmental, social, and governance disclosure to retail investors. Management Science, 70(4), 2626-2644.

14. Pástor, Ľ., Stambaugh, R. F., Taylor, L. A. (2022). Dissecting green returns. Journal of Financial Economics, 146(2), 403-424.

15. Oehmke, M., Opp, M. M. (2024). A theory of socially responsible investment. Review of Economic Studies, rdae048. https://doi.org/10.1093/restud/rdae048

16. Eskildsen, M., Ibert, M., Jensen, T. I., Pedersen, L. H. (2024). In search of the true greenium. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4744608

Consider also choosing a paper of interest from the following lists:

• https://www.unpri.org/research/top-academic-resources-on-responsible-investment/4417.article

• https://www.ecgi.global/publications/blog/does-sustainable-investing-work-a-literature-review

Poslední úprava: Gregor Martin, doc. PhDr., Ph.D. (01.10.2024)

Sylabus

A. Introduction to Sustainable Finance and ESG

Guest lecture 1: Market for sustainable finance: Banks in the EU (McKinsey)

B. Measuring and Reporting Impacts

Guest lecture 2: Carbon footprint methodology (PwC Czech Republic)

C. ESG and Risk Management

Guest lecture 3: ESG data and credit risk management (CRIF Czech Credit Bureau, a.s.)

D. Green and Sustainable Bonds

E. ESG Equity Investing

F. Selected Topics in Sustainable Finance and ESG

Poslední úprava: Gregor Martin, doc. PhDr., Ph.D. (18.12.2024)