We study the bivariate jump process involving the S&P 500 and the Euro Stoxx 50 with jumps extracted from high frequency data using non-parametric methods. Our analysis, based on a generalized Hawkes process, reveals the presence of self-excitation in the jump activity which is responsible for...

We rely on the ESG ratings assigned by four distinct agencies (MSCI, Refinitiv, Robeco, and Sustainalytics) to study the link between ESG scores and firms’ cost of debt financing during the early stage of the COVID-19 pandemic. We document the existence of a statistically and economically...

We use the entropy balancing method to study the impact of sustainability labels on mutual fund flows and returns. We compare the informativeness of a well established industry proxy of ESG risk (the Morningstar sustainability rating) with the ESG disclosure requirements introduced by the...