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Mind the gap! Machine Learning, ESG Metrics and Sustainable Investment
16 references·1 citing·18 second hop
Mind the gap! Machine Learning, ESG Metrics and Sustainable Investment (2020)Mind the gap! Machine Learning, ESG Metri…ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)ESG and financial performance…A five-factor asset pricing model (2014)A five-factor asset pricing m…Corporate social responsibility and access to finance (2013)Corporate social responsibili…Academy of Management Journal (2013)Academy of Management JournalThe relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)The relationship between corp…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The relationship between return and market value of common stocks (1981)The relationship between retu…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Where and how machine learning plays a role in climate finance research (2024)Where and how machine learnin…The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Behavior of Stock-Market Prices (1965)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Users of the world, unite! The challenges and opportunities of Social Media (2009)Emotional Intelligence, Cognitive Intelligence, and Job Performance (2006)7 Emotion in Organizations (2007)Hidden Connections: The Link Between Board Gender Diversity and Corporate Social Performance (2012)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
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  • 2014A five-factor asset pricing model7,841 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
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  • 2013Academy of Management Journal4,798 cited
  • 2015ESG and financial performance: aggregated evidence from more than 2000 empirical studies4,715 cited
  • 2013Corporate social responsibility and access to finance3,892 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 2008The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis3,151 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing

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3,097 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
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    • 2024Where and how machine learning plays a role in climate finance research24 cited