PEOPLE

Reseach Director: Rocco Ciciretti (Tor Vergata University of Rome)

Research Group:

  • Marco Nicolosi - Link Campus University
  • Roy Cerqueti - La Sapienza University
  • Giovanni Ferri - LUMSA University
  • Giovanni Walter Puopolo - University of Naples Federico II
  • Ambrogio Dalò - Groningen University
  • Leonardo Becchetti - Tor Vergata University of Rome
  • Dam Lammertjan - Groningen University

AIMS AND OBJECTIVES

The SI&R (Sustainable Investment & Risk) Research Area aims to analyze financial topics related to systematic risk in the portfolio diversification area (microeconomic) and systemic risk arising from portfolio aggregation at the market level (macroeconomic). The distinction between homogeneous and heterogeneous portfolios, in terms of composition, might have relevant impact on the overall stability of the financial system. It is crucial to examine microeconomic investment (at portfolio level) decisions and derive their implications for the global financial system (at market level), with particular attention to their effects on the long-term stability of markets. In this context, responsible investments, defined according to the different intensity level of the ESG criteria (Environmental, Social, and Governance), play a central role due to their intrinsic interconnections with the long term sustainability of the financial system viewed as an integrated entity. The interaction between systematic risk and systemic risk is the cornerstone to link microeconomic (portfolio) diversification decisions with the macroeconomic stability of financial systems. This perspective allows for a deeper understanding of the relationship between individual choices and aggregated effects, with critical implications for risk and market sustainability.

RESEARCH PROJECTS AND RESEARCH AREAS

Local coordinator PNRR – PE9 project GRINS for Tor Vergata in Spoke 4 (University of Venice Ca Foscari) WP1 2022 - 2026

  • Local principal investigator, Prin 2022 PNRR – Sector SH1. Accepted: July, 2023 Project title: “The resilience of sustainable finance”
  • “Systemic risk and ESG risk factor” Principal investigator. Founded by Etica SGR Accepted: March, 2023, with a protocol n. R01-2023
  • “ESG and financial markets”, Principal investigator. Founded by Etica SGR Accepted: November, 2019, with a protocol n. R01-2019
  • "Reprisk17 - Will corporations help to pursuit SGDs? The costs of negative media attention and reputational risk as a potential market incentive for corporate responsibility", Group member. Founded by the University of Rome Tor Vergata "Mission: Sustainability". Accepted: March
    1, 2018, with a protocol n. E81I18000750005
  • "The Impact of Socially responsible funds on the systemic risk", Local coordinator for the Università degli studi di Roma "Tor Vergata". Co-founded research project with Università degli Studi di Perugia and Cassa di Risparmio Perugia Foundation. Accepted May 30, 2017, with a protocol n. U760.2017/AIP.150.MC
  • Sustainable Investment Research Platform (SIRP) was an international and interdisciplinary research program including 13 universities in Europe. The research includes Sustainable Investments and Markets, Sustainable Companies and Ratings and Fiduciary and Incentives Systems. SIRP is funded by
    MISTRA, the Swedish governmental foundation for Strategic Environmental Research. The research program started in 2006 and ended in 2012

CONFERENCES (SCIENTIFIC COMMITTEE):

Workshop on Quantitative Methods for Green Finance 2024 – On going;

  • QFin@Work 2017 – On going;
  • Workshop on Quantitative Finance 2018 – On going;

RESEARCH COLLABORATIONS

  • "Mutual Fund Returns and CO2 Emissions" (with Puopolo, G. W. - Dalò, A.), Mimeo, 2024
  • "Portfolio Similarity and Mutual Fund Performance" (with Puopolo, G. W. - Dalò, A.), Mimeo, 2023
  • "Herding and Anti-Herding Across ESG Funds" (with Ferri, G. - Dalò, A.), CEIS Research Paper 524, 2021

PUBLICATIONS

  • "The Contributions of Betas versus Characteristics to the ESG Premium" (with Dalò A. - Dam, L.), in Journal of Empirical Finance, Vol. 71, 2023
    • "A new measure of the resilience for networks of funds with applications to socially responsible investments" (with Cerqueti, R. - Dalò, A. - Nicolosi, M.), in Physica A, Vol. 593, 2022
  • "Environmental reputational risk, negative media attention and financial performance" (with Becchetti, L. - La Licata, G. - Hasan, I.), in Financial Markets, Institutions & Instruments, Vol. 00, pp. 1- 23, 2022
  • "ESG Investing: A Chance to Reduce Systemic Risk" (with Cerqueti, R. - Dalò, A. - Nicolosi, M.), in Journal of Financial Stability, Vol. 54, 2021
  • "Fishing the Corporate Socially Responsible Risk Factor" (with Becchetti L. - Dalò A.), in Journal of Financial Stability, Vol. 37, pp. 25-48, 2018
  • "The cooperative bank difference before and after the global financial crisis?" (with Becchetti, L. - Paolantonio, A.), in Journal of International Money and Finance, Vol. 69, pp. 224-246, 2016
  • "Corporate Social Responsibility, Stakeholder Risk and Idiosyncratic Volatility" (with Becchetti, L. - Hasan, I.), in Journal of Corporate Finance, Vol. 35, pp. 297-309, 2015
  • "Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis" (with Becchetti, L. - Dalò, A. - Herzel, S.), in Applied Economics, Vol. 47(25), pp. 2541-2562, 2015
  • "Corporate Social Responsibility and Financial Performance: An Analysis of Bank Community Responsibility" (with Kobessi, N. - Zhu, Y.), in International Journal of Banking, Accounting and Finance, Vol. 5(4), pp. 342-373, 2014
  • "Corporate Social Responsibility and Earnings Forecasting Unbiasedness" (with Becchetti, L. - Giovannelli, A.), in Journal of Banking and Finance, Vol. 37(9), pp. 3654-3668, 2013
  • "Corporate Social Responsibility and Shareholder Value: A Note" (with Becchetti, L. - Hasan, I. - Kobeissi, N.), in Journal of Business Research, Vol. 65, pp.1628-1635, 2012