Event Study Advanced Machine Learning and Statistical Technique for Analyzing Sustainability in Banking Stocks (original) (raw)

Social Sustainability in European Banks: A Machine Learning Approach using Interval-Based Composite Indicators

2023

Promoting social information reporting and disclosure can promote sustainable banking. The paper aims to measure banking social sustainability disclosure by constructing a new intervalbased composite indicator using the Thomson Reuters database. In this work, we propose an approach to constructing interval-based composite indicators that enhance the composite indicator's construction sensibly, allowing us to measure the uncertainty due to the choices in the composite indicator design. The methodological approach employed is based on a Monte-Carlo simulation and allows for improving the information the composite indicators can obtain. So, we measure the value of the social indicator and its subcomponents and the value's uncertainty due to the different possible weights. The results show that best international practices on ESG in European banks are related to French and United Kingdom Banks, primarily than Italian banks. Finally, we analyze innovative perspectives and propose policy recommendations, considering the growing attention to the issue of ESG disclosure and its adherence to reality, to support sustainable banking ecosystems.

Kalinowski M. (2014). Stock Exchanges Sustainability Support Assessment. Copernican Journal

2016

Abstract: Financial markets can play a role in sustaiability development. They can sup-port sustainability by making ESG disclosure, launching sustainability related indices or offering sustainability guidance for listing companies. All of these activities helps in developing sustainability. This article is an attempt to analyze sustainability sup-port level in stock exchanges in the world. It is based on a survey conducted in 27 stock exchanges. The aim of this article is to assess the level of stock exchanges sustainability support and examine the relationship between the stock market size and sustainabili-ty support level. To acheve the aim the assessment tool has been created. Sustainability Support Index is a synthetic stock markets sustainability support measure. It helps to compare stock exchange sustainability support levels. In the article statistical tools are used to compare the phenomena, mainly regression analysis and Pearson’s correlation. The conclusion presented in t...

Mind the gap! Machine Learning, ESG Metrics and Sustainable Investment

SSRN Electronic Journal, 2020

This work proposes a novel approach for overcoming the current inconsistencies in ESG scores by using Machine Learning (ML) techniques to identify those indicators that better contribute to the construction of efficient portfolios. ML can achieve this result without needing a model-based methodology, typical of the modern portfolio theory approaches. The ESG indicators identified by our approach show a discriminatory power that also holds after accounting for the contribution of the style factors identified by the Fama-French five-factor model and the macroeconomic factors of the BIRR model. The novelty of the paper is threefold: a) the large array of ESG metrics analysed, b) the model-free methodology ensured by ML and c) the disentangling of the contribution of ESG-specific metrics to the portfolio performance from both the traditional style and macroeconomic factors. According to our results, more information content may be extracted from the available raw ESG data for portfolio construction purposes and half of the ESG indicators identified using our approach are environmental. Among the environmental indicators, some refer to companies' exposure and ability to manage climate change risk, namely the transition risk.

Predictive Analysis of S&P BSE Greenex Index: Unlocking Insights for Sustainable Investments

Australasian accounting business and finance journal, 2024

The COVID-19 pandemic has led to reduced economic and industrial activities, prompting a noticeable transition towards a more sustainable way of life. This could indicate that we are on the path to reducing our carbon footprint in the long term. Consequently, analysed the performance of India's sustainability index, the S&P BSE GREENEX, which assesses the sector-wise carbon performance of stocks. It comprises stocks selected based on their energy efficiency performance using publicly disclosed financial and energy data. Forecasting the stock market is critical when formulating investment strategies. Considering the profound negative impact of the COVID-19 pandemic on global stock markets, investment decisions are becoming increasingly challenging and riskier, especially when channelling funds towards green technologies and clean energy. This study analysed the predictive accuracy of the Long Short-Term Memory (LSTM) deep learning model for Indian companies that promote sustainability through their investment decisions during and after the COVID-19 period. The empirical outcomes demonstrate the ability of the LSTM model to generate fairly precise predictions for a wide spectrum of companies across diverse sectors; during and after the crisis. These findings provide valuable insights for investors seeking to make informed decisions regarding sustainability-focused investments as represented by the S&P BSE GREENEX Index.

Strategy, practice and quality of sustainability reports on stock price crash risk

International Journal of Research in Business and Social Science (2147- 4478)

This study examines the relationship between stock price crash risk (SPCR) or the risk of a stock price collapse with strategy, practice, and quality of sustainability reports. This research uses archival data and verification methods. Data analysis using descriptive statistics, regression, classic assumption, and path analysis. This phenomenon arose due to the large number of SPCRs which resulted in losses for investors in the capital market. Samples were taken based on judgment sampling and found 304 reporting studied during the period from 2010-2017 (8 years). The outcomes of this study are the strategy and practice of standalone sustainability reports have a positive effect on the quality of sustainability reports. The quality of sustainability reports (SRQ) mediates the strategy and practice of standalone sustainability reports against SPCR.

Event Studies in Finance: A Review on the Methodological Approaches

2020

This paper reviews methodological approaches in short and long-term event studies in finance. While short-term methods are straighter forward, for long term, any empirical model is still an empirical question. We conclude further empirical research on the latter models is necessary. Additionally, we claim that event studies should also consider fundamental analysis.

Capitalizing on Unexpected Changes in Corporate Sustainability

2023

In this study, we delve into the advantages of ESG investing, offering valuable insights for assessing firm-level sustainability performance, understanding the relationship between ESG factors and financial outcomes, and devising effective trading strategies. Leveraging machine learning algorithms, our research demonstrates the predictability of ESG scores, surpassing previous studies by achieving outstanding predictive performance. We establish a significant and consistent association between changes in ESG scores and stock returns, affirming the market's integration of ESG considerations. Moreover, our analysis highlights the potential for stock selection based on ESG score changes to generate superior portfolio performance, surpassing the broader market in terms of risk-adjusted performance. Notably, the inclusion of short positions for stocks with projected lower future ESG scores amplifies portfolio outperformance, particularly in managing downside risk. Our findings contribute to sustainable investing practices, allowing investors to align their investments with ESG goals, potentially achieving superior returns while promoting responsible corporate behavior.

Analyzing Event Statistics in Corporate Finance

Palgrave Macmillan US eBooks, 2015

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