Tag Archives: Eric Jondeau

Eric Jondeau is a professor of Finance. His main research interests are financial econometrics, the modelling of asset prices, portfolio allocation, pension funds, systemic risk.
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The effect of screening for environmental, social and governance performance on passive and smart beta investing strategies

Using environmental, social, and governance (ESG) scores of firms belonging to the MSCI World universe, we measure the impact of score-based exclusion on both passive investment and smart beta strategies. We find that exclusion leads to improved scores of otherwise standard portfolios without deterioration of their risk-adjusted performance. Smart beta strategies exhibit a similar pattern, often in a more pronounced way. Moreover, our results demonstrate that exclusion also implies regional and sectoral tilts as well as (possibly undesirable) risk exposures of the portfolios.

5 min read Continue reading The effect of screening for environmental, social and governance performance on passive and smart beta investing strategies

Contagion, capital and crashes: a new measure of systemic risk in Europe

How secure are Europe’s financial institutions? What are the chances of another crisis? Eric Jondeau and Michael Rockinger create a model for assessing the ability of European financial institutions, industry sectors, and countries, to withstand market shocks.

4 min read Continue reading Contagion, capital and crashes: a new measure of systemic risk in Europe