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Asset Pricing A responsible CAPM 21 May, 2014 - Singapore
An evening presentation with Professor Abraham Lioui

At a special presentation in Singapore on 21 May, 2014, Abraham Lioui, Professor of Finance, EDHEC Business School and Deputy Academic Director for Europe, PhD in Finance, EDHEC-Risk Institute, will be presenting his recent work on the links between Corporate Social Responsibility (CSR) and asset pricing.

CSR is of increasing strategic concern for corporations around the globe and developments with its evaluation via environmental, social and governance (ESG) criteria have increased investors’ attention to CSR information and its potential relevance for predicting the financial performance of companies.

The media attention enjoyed by CSR and its popularity inside boardrooms have far outpaced the scientific evidence that would be required to justify it. Professor Liou’s latest research, co-authored with EDHEC-Risk Institute PhD in Finance graduate Doctor Michelle Sisto, investigates CSR as a priced risk factor in a multi-factor asset pricing model setting. It builds social responsibility risk factors based on CSR ratings, investigates their explanatory power for the cross-section of equity returns over a twenty year period, and establishes a robust relationship between CSR performance and the risk premium of portfolios which indicates that more responsible companies enjoy a lower cost of capital.

  • 5:45pm

  • 6:15pm
    Presentation: A responsible CAPM
    Abraham Lioui, Professor of Finance, EDHEC Business School and
    Deputy Academic Director for Europe, PhD in Finance, EDHEC Risk Institute

    • Constructing social responsibility risk factors based on ratings of Corporate Social    Responsibility
    • Can social responsibility contribute to explaining cross sectional variation in equity    returns?
    • Results of empirical tests over 20 years: social responsibility is priced

  • 7:30pm
    Question & Answer Session

  • 8:00pm
About the Speaker

Professor Lioui’s research interests in finance revolve around the valuation of financial assets, portfolio management, and risk management. His economics research looks at the relationship between monetary policy and the stock market.

Professor Lioui has been on the faculty of the EDHEC-Risk Institute PhD in Finance since 2008; prior to joining EDHEC Business School, he held the vice chair position in the department of economics at Bar-Ilan University (Israel). Professor Lioui has published in leading journals, including Ecological Economics, European Journal of Operational Research, Journal of Economic Dynamics and Control, Journal of Financial and Quantitative Analysis, and Management Science. He is regularly invited to the programme committee of the European Finance Association’s annual conference. He holds graduate degrees in finance, economics and probability theory and a PhD in Management from ESSEC Business School and Pantheon-Sorbonne University.
Event Details
  When   Between 21/05/2014 05:30 PM and 21/05/2014 08:30 PM
Where   EDHEC Risk Institute–Asia, One George Street (Seventh Floor), Singapore
Contact Details
  Name   Syh Jiuan Ng
E-mail   syhjiuan.ng@edhec-risk.com
Phone   +65 6438 0030