Forecasting volatility by integrating financial risk with environmental, social, and governance risk

Capelli, Paolo; Ielasi, Federica; Russo, Angeloantonio

doi:10.1002/csr.2180

Cited by 50 publications

(28 citation statements)

References 110 publications

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“…Two main beneficiaries of corporate social responsibility amid the pandemic and crisis changed their priorities. Employees (the first beneficiary) are interested not just in preserving their jobs but in their professional activities' becoming safe (from the positions of observing sanitary and epidemiological norms) (Capelli et al 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

Corporate Fight against the COVID-19 Risks Based on Technologies of Industry 4.0 as a New Direction of Social Responsibility

Inshakova

Sozinova

Litvinova

2021

Risks

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The purpose of the article: to find new (most effective) directions for the corporate COVID-19 risks management and developing management implications for leading this fight amid the pandemic and crisis for sustainable development. The methods of correlation and regression analysis are used. It is proved that the most perspective method of the corporate fight against the COVID-19 risks is a flexible transformation of business according to the new conditions based on the Industry 4.0 technologies. This paper further develops and supplements the concept of corporate social responsibility, including a new direction—corporate fight against the COVID-19 risks in it. The authors develop management implications on improving the corporate fight against the COVID-19 risks as a new direction of corporate social responsibility amid the pandemic. The advantages of using the Industry 4.0 technologies for the corporate fight against the viral threat include reduction of the share of the population with household expenditures for healthcare above 25% of total expenditures or incomes, reduction of the number of new cases per 1 million people, and an increase of the self-isolation index, the share of responsible employers amid COVID-19 risks.

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Section: Literature Reviewmentioning

confidence: 99%

Corporate Fight against the COVID-19 Risks Based on Technologies of Industry 4.0 as a New Direction of Social Responsibility

Inshakova

Sozinova

Litvinova

2021

Risks

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“…In recent scientific papers, the relationship between CSR and risk has deepened in terms of reworking traditional risk management models. For example, Capelli et al (2021) argue that CSR risk analysis can improve financial risk assessment by integrating traditional risk management models with entropy analysis related to ESGs. This conclusion is consistent with the general idea that VaR (Value at Risk) models should be continually revised because of the arising of new independent variables that affect the volatility of stock prices (Bloomberg, 2011; Berkowitz and O'Brien, 2002).…”

Section: Prior Literaturementioning

confidence: 99%

Embedding sustainability in risk management: The impact of environmental, social, and governance ratings on corporate financial risk

Landi

Iandolo

Renzi

et al. 2022

Corp Soc Responsibility Env

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This study investigates the effect of corporate social and environmental evaluation on investors' risk perception to explore the potential market risk for public companies that adopt a sustainable and responsible corporate strategy. We referred to the triple corporate assessment according to environmental, social, and governance (ESG) criteria to check whether ESG factors-meant to direct firms toward social and environmental needs-improve corporate market performance or trigger, among investors, a perception of "window dressing." In doing so, we tested the impact of corporate social performance-proxied by an ESG assessment-on corporate financial risk using double risk measurement. We conducted a five-year longitudinal study (fiscal years 2014-2018) of 222 companies listed on the Standard & Poor's index. The empirical findings show higher investor uncertainty regarding corporate sustainability performance, probably due to the misalignment of objectives between investors and investees. Indeed, an overall ESG assessment corresponds to higher systematic risk for firms, and a corporate environmental rating has an upward effect on the same risk dimension.

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“…Studies have revealed that integrating ESG into a company's strategy improves not only financial performance (Brogi & Lagasio, 2019; Ellili & Nobanee, 2022; Gallego‐Álvarez & Pucheta‐Martínez, 2021; La Torre et al, 2021), market value (Aureli et al, 2020; Lo & Kwan, 2017), and investment efficiency (Ellili, 2022; Harymawan et al, 2022) but also forecasts the effectiveness of financial asset volatility (Capelli et al, 2021), and mitigates the cost of capital (Raimo et al, 2021). In addition, this integration enhances other non‐financial indicators, such as reputation (Karwowski & Raulinajtys‐Grzybek, 2021; Murè et al, 2021).…”

Section: Literature Review and Hypotheses Developmentmentioning

confidence: 99%

Impact of environmental, social and governance disclosure on dividend policy: What is the role of corporate governance? Evidence from an emerging market

Ellili

2022

Corp Soc Responsibility Env

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This study examines the nexus between environmental, social, and governance (ESG) disclosure and dividend policy by considering the major role of corporate governance.The sample consists of companies traded in the UAE financial markets during the period 2010-2020. Using data collected from Bloomberg and applying panel data regressions, the results indicated a positive relationship between ESG and dividend payouts. In addition, the results reveal that board of directors' independence is a mediator in the relationship between ESG disclosure and dividend payout, whereas institutional ownership and foreign ownership play a negative and positive moderating role between ESG and dividend payout, respectively. The findings could help UAE financial regulators integrate ESG information into the reporting process, implement effective corporate governance mechanisms to provide accurate information to shareholders, and manage their portfolios more efficiently. This study is the first to examine the relationship between ESG disclosure and dividend policies by considering corporate governance, and contributes to a better understanding of the financial impact of ESG disclosure on dividend policy.

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Forecasting volatility by integrating financial risk with environmental, social, and governance risk

Cited by 50 publications

References 110 publications

Corporate Fight against the COVID-19 Risks Based on Technologies of Industry 4.0 as a New Direction of Social Responsibility

Corporate Fight against the COVID-19 Risks Based on Technologies of Industry 4.0 as a New Direction of Social Responsibility

Embedding sustainability in risk management: The impact of environmental, social, and governance ratings on corporate financial risk

Impact of environmental, social and governance disclosure on dividend policy: What is the role of corporate governance? Evidence from an emerging market

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