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Environmental and social aspects in financial regulatory
Novák, Tomáš ; Vybíral, Roman (advisor) ; Martiník, Pavel (referee)
Page 1 Abstrakt v anglickém jazyce Environmental and social aspects, sometimes simplistically referred to as "ESG", have found their way into all sectors of human activity in conjunction with addressing the issue of global climate change. This paper examines their integration into financial market regulatory rules. It analyses the obligations arising from these regulatory rules both from the perspective of compliance at the level of a financial product and at the level of a regulated entity as a whole. The integration of ESG into financial regulation into Czech law is primarily taking place at the European level, with the most significant piece of legislation addressed in this work being Regulation (EU) 2019/2088 of the European Parliament and of the Council of 27 November 2019 on sustainability-related disclosures in the financial services sector ("SFDR"). The author also describes the additional legislative documentation in the form of regulatory technical standards that supplement to the SFDR and touches upon the integration of environmental and social aspects into the sectoral regulations of the financial regulatory law of the European Union. The issue of supervision over the proper observance of the legislation is directly related to the regulatory framework itself. The author analyses the mutual...
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Climate Change Risk Premium, Stock Returns and Volatility Analysis in Relation to ESG Score
Barotov, Timur ; Baruník, Jozef (advisor) ; Vácha, Lukáš (referee)
The purpose of this study is to provide the evidence in regards to how the ESG score integration in the investment strategies affects the stock portfolio performances. The 10 year long panel data on European stocks were used to test how does the corporate ESG score correlate with returns and volatility on corporate stocks and does it (if at all) hold any explanatory power if added to popularly used asset pricing models. Data sample was divided in two based on long and short ESG reporting periods, where on each the analysis was performed separately. Furthermore, both the single sort and double sort analyses were performed to isolate size and ESG effects. Using Fama-MacBeth regression the results seem to suggest that investors are already pricing in the climate related risks as shown by the negative risk premium associated with high ESG firms. Returns and volatility of corporate stocks tend to be lower with higher ESG score, although not uniformly nor very significantly. Comparing Leaders portfolio showed that high (European) ESG scorers underperfomed S&P 500 index both in terms of return and volatility.
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What It Means and How It Is Approached by Financial Regulators
Fišer, Ondřej ; Sejkora, Tomáš (advisor) ; Kohajda, Michael (referee)
The thesis covers the topic of sustainable finance regarding its terminology, policy strategies and overall goals. In addition, it specifically deals with the way sustainable finance is perceived by central banks and other financial market regulators. The first chapter explains terms like "ESG investing," "positive finance," "socially responsible investment, "principles for responsible investing" "or "green finance" and points out the differences between them. The second chapter concerns with sustainable finance policy strategies adopted both by private businesses and public institutions. Mentioned are, among others, the types of ESG screening methods used by investors, the EU Green Taxonomy, the EU Shareholders' Rights Directive and its framework, the European Green New Deal or the concept of a sustainable fiduciary duty principle. It also touches on sustainable, green taxation in the shape of carbon taxes or emission trading schemes. The third chapter explores the objectives sustainable finance try to meet, specifically the ones having to do with climate change. The chapter entails a summary of the potential climate change scenarios as laid out by the Intergovernmental Panel on Climate Change. The fourth chapter deals with the role that central banks can play in sustainable finance as they gradually step...
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