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This paper assesses whether a climate factor is relevant to measure default risk in a sample of main companies listed on the STOXX Europe 600 exchange from 2010 to 2020. The starting point is a factorial panel data model which is subsequently modified to capture the climate impact through different functional forms. We find that relevant differences in default risk exist before and after the Paris Agreement. Our analysis also indicates that this difference cannot be explained by means of traditional financial factors. Finally, we further show that a climate change risk and opportunities label is a significant factor in evaluating credit risk, both prior to and post-Paris agreement. These results are important to the extent that they suggest that companies' market performance itself allows to measure differences in credit risk between companies and to link them with climate risk factors. This approach may be useful as a complement or in combination with the traditional use of exogenous climate factors that have been widely used in the literature in this field. [ABSTRACT FROM AUTHOR]

We conduct the first comparative analysis of the financial performance of European green, black (fossil energy and natural resource) and conventional mutual funds. Based on a unique dataset of 175 green, 259 black and 976 conventional mutual funds, the investigation contrasts the financial performance of the three dissimilar investment orientations over the 1991-2014 period. Over the full sample period, green mutual funds significantly underperform relative to conventional funds, while no significant risk-adjusted performance differences between green and black mutual funds could be established during the same period. Environmentally friendly investment vehicles display a significant exposure to small cap and growth stocks, while black funds are more exposed to value stocks. Remarkably, the green funds' risk-adjusted return profile progressively improves over time until no difference in the performance of the green and the conventional classes could be discerned. Further evidence suggests that the green funds are beginning to significantly outperform their black peers, especially over the 2012-2014 investment window. [ABSTRACT FROM AUTHOR]

Student start-ups are a significant part of overall university entrepreneurship. Yet, we know little about the determinants of this type of start-ups and, specifically, the relevance of context effects. Drawing on organizational and regional context literature, we develop and test a model that aims to explain student entrepreneurship in a contextual perspective. Based on unique micro-data and using multi-level techniques, we analyse nascent and new entrepreneurial activities of business and economics students at 41 European universities. Our analysis reveals that individual and contextual determinants influence students' propensity to start a business. While peoples' individual characteristics are most important, the organizational and regional contexts also play a role and have a differentiated effect, depending on the source of the venture idea and the stage of its development. Organizational characteristics, like the prevalence of fellow students who have attended entrepreneurship education, influence whether students take action to start a new firm (nascent entrepreneurship) but do not seem to support the actual establishment of a new firm. In contrast, the latter is less dependent on the university context but more strongly influenced by regional characteristics. Overall, our study contributes to our understanding of the emergence of start-ups in the organizational context of universities and has implications for initiatives and programs that aim at encouraging students to become entrepreneurs. [ABSTRACT FROM AUTHOR]

The purpose of our paper is the construction of a multidimensional ethical rating model, based on many items that represent the most significant Corporate Social Responsibility drivers of the banks. The items considered have been drawn from literature and from corporate reporting and websites of banks and then subjected to content analysis. The model, applied to a sample of European banks, was divided into four areas of analysis (Disclosure; Organization and Management; Offer of Socially Responsible Instruments; International Agreements, Certifications and Indexes) to identify the most frequent ethical conducts and the ones that require improvement measures. Our research highlights that banks pay more attention to the offer of socially responsible instruments and organization and management issues. On the contrary, the banks examined could enhance their socially responsible approach by reinforcing disclosure on Corporate Social Responsibility. In particular, there is a modest orientation towards disclosure on the basis of the triple bottom-line approach. Finally, as for international agreements, certifications and indexes, improvement actions are still needed: there are still many international principles which have not yet been adhered to and an increase in requests for more ethical/quality certifications and inclusion in reputational ratings would be desirable. [ABSTRACT FROM AUTHOR]

This paper empirically examines the theoretically ambivalent relationship between socially responsible investing (SRI) and stock performance. It contributes to the existing literature by considering both the US and the entire European stock markets and by using consistent world-wide corporate sustainability performance data. Our portfolio analysis from 1998 to 2009 is based on the common four-factor model according to Carhart (1997), which comprises market return, size, value, and momentum factors. We show for the US and the European stock markets that SRI is associated with large-sized firms. The insignificant abnormal stock returns for SRI in both regions are the main result of our paper. Therefore, our study supports the view that SRI stocks are correctly priced by market participants, although we cannot rule out that a corresponding mispricing has existed before the beginning of our observation period in 1998. [ABSTRACT FROM AUTHOR]

This paper provides new empirical evidence for the effect of corporate social responsibility on corporate financial performance. In contrast to former studies, we examine two different regions, namely the USA and Europe, and disentangle firm and sector specific impacts. Our econometric analysis shows that environmental and social activities of a firm compared with other firms within the industry are valued by financial markets in both regions. However, the respective positive effects on average monthly stock returns between 2003 and 2006 are more robust in the USA and, in addition, non-linear. Our analysis furthermore points to biased parameter estimates if incorrectly specified econometric models are applied: the seemingly significantly negative effect of environmental and social performance of the industry to which a firm belongs strongly declines and mostly becomes insignificant if the explanation of stock performance is based on the Fama–French three-factor or the Carhart four-factor models instead of the simple Capital Asset Pricing Model. [ABSTRACT FROM AUTHOR]

This paper empirically examines the effect of inclusion in the Dow Jones Sustainability World Index (DJSI World) on corporate financial performance. On the basis of panel data for European firms that were included in the Dow Jones Stoxx 600 Index over time, our micro-econometric analysis with fixed and random effects models implies positive impacts on return on assets for continental European countries, but insignificant effects for Anglo-Saxon European countries (i.e., the United Kingdom and Ireland). Furthermore, the impacts on alternative indicators of corporate financial performance such as Tobin's Q are generally insignificant. The weak or neutral effect of inclusion in the DJSI World on corporate financial performance can be explained by several mutually confounding factors. Furthermore, the composition of this sustainability stock index is influenced by factors that need not necessarily be directly connected to corporate environmental or social activities, so that potential positive and negative effects of corporate sustainability performance on financial performance can be weakened. Methodologically, this study again supports the strong relevance of unobserved firm heterogeneity since the application of misspecified pooled regression models leads to obviously biased estimation results. [ABSTRACT FROM AUTHOR]