Scientific Beta

Abraham Lioui, Professor of Finance at EDHEC Business School and member of the EDHEC-Scientific Beta Research Chair, talks to Jason Mitchell, Co-Head of Responsible Investment at Man Group, about the future of ESG outperformance and his latest paper "Chasing the ESG Factor".

Abraham Lioui, Professor at EDHEC Business School and member of the EDHEC-Scientific Beta Research Chair, participated in a podcast organised by Man Institute on 9 July 2021 entitled "A Sustainable Future: The Shrinking ESG Premium".

Is ESG outperformance coming to end? Is an ESG asset bubble brewing? Jason Mitchell, Co-Head of Responsible Investment at Man Group talks with Abraham Lioui, Professor of Finance at EDHEC Business School, and member of the EDHEC-Scientific Beta Research Chair, about his latest paper, "Chasing the ESG Factor".

The podcast discussed the following topics:

• How investors may be mispricing ESG
• The implications of identifying ESG risk premia
• Why more rigorous approaches are absolutely essential to understanding ESG in the context of quantitative finance.

Abraham Lioui, PhD (Sorbonne University) is Professor of Finance at EDHEC Business School and member of the EDHEC Scientific Beta Research Chair. He was previously Professor at the department of Economics at Bar Ilan University where he held the Vice Chair position. His research interests in Finance revolve around the valuation of financial assets, portfolio and risk management, and asset pricing theory. His economics research looks at the relationship between monetary policy and the stock market. He is currently working on ESG in Factor Investing and market outcomes of climate risks.