Macro Asset Allocation with Social Impact Investments

Biasin, Massimo; Cerqueti, Roy; Giacomini, Emanuela; Marinelli, Nicoletta; Quaranta, Anna Grazia; Riccetti, Luca

doi:10.3390/su11113140

Cited by 17 publications

(25 citation statements)

References 37 publications

(51 reference statements)

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“…In the case of ROE and in addition to all of the previous finance variables, Biasin et al (2019) indicate that there is a positive relationship between the implementation of sustainable practices and all company finance variables, such as ROA, ROE, earnings per share, market value, share value, and EBITDA. ROE was found to be positively correlated with the index in 39% of the companies that are part of the DJSI and in 43% of the companies that are part of the general IGPA.…”

Section: Discussionmentioning

confidence: 90%

Correlation between the DJSI Chile and the Financial Indices of Chilean Companies

Chahuán-Jiménez

2020

IJFS

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The Dow Jones Sustainability Index Chile (DJSI Chile) is made up of leading sustainability companies that are investing great effort into sustainable management. This study correlates the DJSI Chile with the financial indices (return on equity (ROE), return on assets (ROA), market value, earnings, and leverage) of companies that belong to the General Stock Price Index (IGPA) in Chile. The methodology used was quantitative, considering Chilean companies in the IGPA, including companies belonging to the DJSI Chile, applying a normality and correlation test based on the results. In conclusion, the study shows that in the results for the ROE, ROA, and leverage variables, there is no positive correlation with the DJSI Chile. However, the DJSI Chile is correlated with market value (for approximately 80% of the companies), and with earnings, there is a slightly higher correlation for the companies that belong to the DJSI Chile than for the remaining companies in the IGPA, thus if there exists a correlation between the DJSI Chile index and the variables market value and earnings, the index enables the prediction of those financial variables or predicts the finance indices (value market and earnings) of the companies that make up the DJSI Chile basing in the DJSI Chile index.

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Section: Discussionmentioning

confidence: 90%

Correlation between the DJSI Chile and the Financial Indices of Chilean Companies

Chahuán-Jiménez

2020

IJFS

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“…Anyway, other positive results associated with responsible financial products were found even without considering financial crisis periods. For example, Biasin et al [32]-one of the last studies before the pandemic-highlight the benefits of social impact investmentbased portfolios. Abate et al [33], using a sample of European funds, and Das et al [34] showed that socially responsible mutual funds outperformed conventional funds and Ouchen [35] demonstrated that the ESG portfolio MSCI USA ESG Select was "less turbulent".…”

Section: Related Literaturementioning

confidence: 99%

Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis

Pisani

Russo

2021

Sustainability

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We investigated the financial performance of a sample of sustainable investment funds in terms of returns, volatility, and contagion risk during the financial crisis caused by the COVID-19 pandemic. In order to conduct a more reliable analysis, we considered a homogenous sample composed of 30 funds declaring the same benchmark (the MSCI Europe index). The Morningstar Sustainability ESG rating was used to determine the level of sustainability of each fund. Both the GARCH models and the event study suggest that funds with a higher ESG rating were able to outperform other funds during the COVID-19 period. These funds had a greater level of resilience and exhibited a lower level of risk contagion during the pandemic. These instruments appear to assume the role of risk protection and should be considered a means of both promoting sustainable growth and minimizing portfolio risk.

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“…Ning and Sobel (2018) deal with the connection between the market volatility and dividend rates, maintaining that growing endogenous values of capacities and cash coincide with the increased insecurity of the development, to which companies respond by reducing payout ratios. Biasin et al (2019) point out an apparent paradox phenomenon of increasing the value in companies including the earning payout in the form of investments in programmes of corporate social responsibility in terms of reviewing the company performance discussing yields on model portfolios in the sample of 50 enterprises listed on stock markets. Hsu (2018) analyses the same area, claiming that CSR (Corporate Social Responsibility) presents a functional predictor for determining the company life-cycle and, apart from other, earning management.…”

Section: Literature Reviewmentioning

confidence: 99%

Fixing a payout ratio by dividend policies: a case of the utility sector

Vochоzka¹,

Machová²,

Sedmíková³

2021

JESI

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The dividend policy presents an important tool to decide whether to pay or with hold the earning. The resolute information about purchasing shares and subsequent dividends show the future prosperity of the company and its position on the market. The article aims at analysing the development of the payout ratio estimated from the current dividend policy of ČEZ Company. CEZ is one of the most important suppliers and producers of electricity in the Czech Republic. The majority owner of the company is the Czech state. It can be stated that the area of operation does not only cover the Czech market, because ČEZ company also operates in other countries, mainly in Central Europe. For this reason, it is very interesting to watch the development of this power giant in terms his dominant role in a small and open economy such as the Czech Republic. The data extraction from company annual reports of 2008-2018 allows the correlation analysis to collect and interpret data on the payout ratio adequacy, examining the actual state of the company, earning distribution and corporate expectations from the market. The earning has a visibly positive impact on the payout ratio. The article offers advice for the organization changes to generalize achieved results, subsequently passing on advice for the whole segment.

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Macro Asset Allocation with Social Impact Investments

Cited by 17 publications

References 37 publications

Correlation between the DJSI Chile and the Financial Indices of Chilean Companies

Correlation between the DJSI Chile and the Financial Indices of Chilean Companies

Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis

Fixing a payout ratio by dividend policies: a case of the utility sector

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