/ Research Center

13.01.2021 - Working Paper

Responsible Investing and Stock Allocation

We analyze the portfolio choices of approximately 913,000 active participants in employee saving plans in France. Looking at the cross-section of equity exposure, we find that the inclusion of responsible equity options in the menu of available funds is associated with a 2.1% higher equity allocation by plan participants.

Marie BRIERE, Stefano RAMELLI

15.12.2020 - Insights Paper

Sustainability-linked bonds: nascent opportunities for ESG investing

Since the creation of green bonds, many new labels have emerged, including social bonds, sustainability bonds, and recently transition bonds, not to mention water, blue or adaptation bonds. Despite the standardisation efforts led by the International Capital Markets Association (ICMA), creativity in self-labelling has increased the number of labels. Whereas the type of activities financed by these various bond labels differ, they are all anchored to the same initial concept and to a pledge by issuers that the proceeds will be dedicated to a predetermined list of eligible projects. These are ‘use-of-proceeds’ bonds.

Alban DE FAY, Erwan CREHALET

10.02.2020 - Expert Talk

ESG Investing in Corporate Bonds: Mind the Gap

As investors gradually integrate ESG into their stock and bond portfolios, it becomes crucial for Amundi, as a leading responsible investor, to gain a deep understanding of the various facets of ESG and its impacts on different asset classes. Therefore, ESG has been a top priority for Amundi research teams.

Eric BRARD, Alban DE FAY, Thierry RONCALLI

13.01.2020 - Discussion Paper

ESG Investing in Recent Years: New Insights from Old Challenges

This research is an update of the study that we published last year (Bennani et al., 2018) and that explored the impact of ESG investing on asset pricing in the stock market.

Vincent MORTIER, Thierry RONCALLI, Angelo DREI, Takaya SEKINE

27.08.2019 - Working Paper

Do universal owners vote to curb negative corporate externalities? An empirical analysis of shareholder meetings

Marie BRIERE, Sébastien POUGET, Loredana URECHE-RANGAU

26.09.2018 - Working Paper

BlackRock vs Norway Fund at Shareholder Meetings: Institutional Investors’ Votes on Corporate Externalities

Marie BRIERE, Sébastien POUGET, Loredana URECHE-RANGAU

21.10.2014 - Working Paper

Do Social Responsibility Screens Really Matter? A Comparison with Conventional Sources of Performances

On average, socially responsible (SR) funds have showed statistically similar performances to traditional funds. Does this mean SR screens make a negligible contribution to fund performance?

Marie BRIERE, Jonathan PEILLEX, Loredana URECHE-RANGAU

15.01.2012 - Working Paper

Social responsibility and mean-variance portfolio selection

This paper measures the trade-off between financial efficiency and SRI in the traditional mean-variance optimization. We compare the optimal portfolios of an SR-insensitive investor and her SR-sensitive counterpart in order to assess the cost associated with SRI. Our contribution is twofold. First, we extend the Markowitz (1952) model4 by imposing an SR threshold. This leads to four possible SR-efficient frontiers: a) the SR-frontier is the same as the non-SR frontier (i.e. no cost), b) only the left portion is penalized (i.e. a cost for high-risk-aversion investors only), c) only the right portion is penalized (i.e. a cost for low-risk aversion investors only), and d) the full frontier is penalized (i.e. a cost for all investors). Despite its crucial importance, practitioners tend to leave the investor’s risk aversion out of the SRI story. Our paper on the other hand offers a fully operational mean-variance framework for SR portfolio management, a framework that can be used for all asset classes (stocks, bonds, commodities, mutual funds, etc.). It makes explicit the consequences of any given SR threshold on the determination of the optimal portfolio. To illustrate this, we complement our theoretical approach by an empirical application to emerging bond portfolios. The rest of the paper is organized as follows. Section 2 proposes the theoretical framework forthe SR mean-variance optimization in the presence of risky assets only. Section 3 adds a riskfree asset. Section 4 applies the SRI methodology to emerging sovereign bond portfolios. Section 5 concludes.

Bastien DRUT

Senior Strategist at CPR AM

15.04.2010 - Working Paper

Sovereign bonds and socially responsible investment

In Markowitz’s (1952) setting, portfolio selection is driven solely by financial parameters and the investor’s risk aversion. This framework may however be viewed as too restrictive since, in the scope of Socially Responsible Investment (SRI)1, investors also consider non-financial criteria. This paper explores the impact of such SRI concerns on mean-variance portfolio selection. SRI has recently gained momentum. In 2007, its market share reached 11% of assets under management in the United States and 17.6% in Europe.2 Moreover, by May 2009, 538 asset owners and investment managers, representing $18 trillion of assets under management, had signed the Principles for Responsible Investment (PRI)3. Within the SRI industry, initiatives are burgeoning and patterns are evolving rapidly.In practice, SRI takes various forms. Negative screening consists in excluding assets on ethical grounds (often related to religious beliefs), while positive screening selects the best-SR rated assets (typically, by combining environmental, social, and governance ratings). Renneboog et al. (2008) describe “negative screening” as the first generation of SRI, and “positive screening” as the second generation. The third generation combines both screenings, while the fourth adds shareholder activism.

Bastien DRUT

Senior Strategist at CPR AM

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