Joint research unit 7235

ESG Backtesting

Sessi Tokpavi, Christophe Boucher, Stéphane Matton, Wassim Le Lann

The paper develops a backtesting procedure that evaluates how well extra-financial metrics help in predicting whether ESG risks will materialise, as given by increased idiosyncratic volatility. Technically, the inference is based on extending the conditional predictive ability test of Giacomini and White (2006) to a panel data setting. Results provide insights into the accuracy of ESG rating systems and suggest that information gathered from several ESG rating providers should be cross-checked before it is integrated into investment processes.

AGENDA

Monday 26 February 2024

Colloques et Workshops

9ème conférence euro-africaine et économie / Mediterranean workshop in economic theory

Monday 26 February 2024

Colloques et Workshops

9ème conférence euro-africaine et économie / Mediterranean workshop in economic theory

Monday 26 February 2024

Domino Secessions : Evidence from the US

Jean Lacroix (U Paris Saclay, RITM)

Domino Secessions : Evidence from the US

Monday 26 February 2024

Law, Institutions and Economics in Nanterre (LIEN)

Jean Lacroix (U Paris Saclay, RITM)

Domino Secessions : Evidence from the US

Tuesday 27 February 2024

Colloques et Workshops

Harcèlement moral et sexuel dans la recherche

Tuesday 27 February 2024

Colloques et Workshops

Harcèlement moral et sexuel dans la recherche

Thursday 29 February 2024

Thomas Jacquet, Amady Léchenet, Albin Salmon, Benjamin Trouvé

Nouveaux Doctorants II

Thomas Jacquet, Amady Léchenet, Albin Salmon, Benjamin Trouvé

Thursday 29 February 2024

Lunch

Nouveaux Doctorants II

Thomas Jacquet, Amady Léchenet, Albin Salmon, Benjamin Trouvé

Inscription aux Newsletters

Newsletter subscription