This paper examines the profitability of investing according to environmental, social and governance (ESG) criteria in the U.S. and Europe. Based on data from 2003 to 2017, we show that a portfolio long in stocks with the highest ESG scores and short in those with the lowest scores yields a...

This study investigates the growing importance of sustainability in equity markets by estimating whether company commitment to sustainability matters in corporate valuation. The spreading concern for social and environmental issues, and especially for the material risks of climate change,...

Die Modellierung des CO2-Zertifikatepreisrisikos ist ein wichtiger Teilaspekt eines ganzheitlichen Managements von mit dem Emissionshandel verbundenen Unternehmensrisiken. Das Papier diskutiert ein Preisbildungsmodell, auf dessen Grundlage das Zertifikatepreisrisiko bewertet werden kann. Es wird...

Since the introduction of the European CO2 emissions trading system (EU ETS), the development of CO2 allowance prices is a new risk factor for enterprises taking part in this system. In this paper, we analyze how risk emerging from emissions trading can be considered in the stochastic profit and...

Amidst increased attention on climate change, which is characterised by high uncertainties and long-term time horizons, the financial sector and supervisors are developing methods and approaches for the evaluation of climate-related financial risks. This paper proposes a transition capacity...

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel dataset which augments data on firms' green-house gas emissions over time with information on climate disclosure practices and forward-looking emission reduction targets,...

This paper explores how the need to transition to a low-carbon economy influences credit risk. It develops a novel dataset covering firms' greenhouse gas emissions over time alongside information on strategies for managing transition risk, including climate disclosure practices and...

The economic and political developments of the past years show an increasing importance of a possible risk-reducing of the company due to good ESG performance. Our work contributes by examining the impact of relatively better ESG performance of companies on their implied and historical share...

This paper examines the short-term influence of CSR-relevant news on the enterprise value in the form of respective shareholder value, which is represented by the corresponding stock price. This effect is measured using an event study applied to companies in the 'Austrian Traded Index' (ATX)....

Environmental sustainability represents nowadays a significant factor for business sector. Firms carry out many initiatives to develop environmental practices. Investors increasingly consider environmental discloser by firms and integrate this disclosure into the investment decision-making...