Erasmus Research Institute of Management invites applications for a Ph.D. position to the joint project of the ERIM finance department and the Erasmus Initiative Dynamics of Inclusive Prosperity, The Netherlands – Jan 2022
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Candidates should have a strong background in econometrics, quantitative economics and/or computational economics. Experience with econometrics software and programming languages (e.g., Matlab, R, Ox) is highly recommended. Further, candidates should be fluent in English. Candidates should have a strong interest in finance, but not necessarily an MSc or MPhil degree in finance since the PhD program involves a thorough curriculum of finance courses. A background in philosophy is not required.
Required by ERIM
All application documents required by ERIM can be found here: https://www.erim.eur.nl/doctoral-programme/phd-in-management/admissions/application/
Below are the test scores required by ERIM:
- GMAT/GRE scores above the 85th percentile, not older than 5 years
- IELTS/TOEFL test scores, not older than 2 years:
- IELTS: minimum overall band score 7.5; no band score lower than 6.5
- Internet-based TOEFL: minimum total score 100, no sub-score lower than 23
- Paper-based TOEFL: minimum score 600
Current research in finance as well as current developments in financial markets show increasing interest in incorporating ethical, social, and environmental values into finance theory and practice. Financial markets are witnessing continued and steady increase in inflows of capital with global sustainable investments exceeding $35 trillion in 2020 according to the Global Sustainable Investment Alliance (GSIA). New research areas are emerging that analyze the role these values play in financial markets. A key question in the literature is: how do such values relate to and interact with financial risk and return considerations that are key concepts in research on financial markets? Other important research avenues are to analyze the role of the financial markets in measuring, pricing, and hedging social, un-sustainable, and environmental risks, analyzing investment strategies and the role and performance of different types of financial investors focused on sustainable and impactful investments.
The aim of this project is to develop several research questions that oscillate around this broad theme and provide new insights into the role of ethical, social, and environmental values in financial markets.
This is a joint project of the ERIM finance department and the Erasmus Initiative Dynamics of Inclusive Prosperity. The initiative combines members of the Erasmus School of Philosophy (ESPhil), Rotterdam School of Management (RSM), and Erasmus School of Law (ESL), and channels their expertise into ambitious multi-disciplinary research projects. This research project is related to interdisciplinary research on “Values in Finance” within the initiative that lies at the intersection of finance and philosophy and analyzes the role of values in finance research and practice.
How to Apply?
Online Application through "Apply Now" Button from this pageReference Number: 3491
(If any, use it in the necessary place)
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The basic and general documents required to fill up the online application
About the Project
The aim of this project is to develop several research questions that oscillate around the broad theme that analyze the role ethical, social, and environmental values play in financial markets. During the first year of the project, more specific research questions will be developed that can be expected to fall into one of the following themes.
Values and asset pricing
The main question in asset pricing research is why some assets have higher expected returns than others. Recent research that incorporates ethical, socially responsible, sustainable, or environmentally oriented concerns tries to understand how these values affect the differences in expected returns. For example, some studies find that sustainable assets earn high expected returns, while others show that they in fact earn low expected returns, some argue that expected returns earned by sustainable assets differ in the short and long run. A related question is whether markets are informationally efficient such that they are able to integrate and incorporate into prices information about societal issues, sustainability or ethical and environmental concerns. This research is at the early stage, and much more work is needed to understand how values may or may not translate into expected returns on assets.
Changes in asset prices reflect, among other things, changes in information about future investment opportunities. Therefore, financial assets can be used to construct mimicking portfolios that hedge the risks associated with changing investment opportunities. For example, mimicking portfolios constructed from different financial assets, such as stocks, bonds or commodities, have been used to hedge aggregate macroeconomics risks, such as consumption or inflation risks, or news related to future output growth. More recently, mimicking portfolios have been used to study the ability to hedge climate change risk. Mimicking portfolios allow us to study the properties and effectiveness of hedging tools available to investors in financial markets. They can also be used to measure risk premiums and hence can help to identify which type of social, environmental and climate risks are important determinant of expected returns.
The role of financial investors for sustainable finance
Many institutional investors, like pension funds, mutual funds or hedge funds, have incorporated in their investment strategies ethical, social, sustainable and environmental concerns. The literature studying these investors has produced mixed results so far. For example, some studies report that socially responsible investments of institutional investors earn similar risk adjust returns to the investments of conventional investors, while other studies report worse performance of the socially responsible investors. Institutional investors, especially the ones with a long horizon perspective, have been shown to invest more in firms with high environmental, social and sustainable scores, but there are also reports that show the opposite results. Other important questions in this literature study the information content of institutional holdings, their non-pecuniary preferences. In general, there is more research needed to understand the role of institutional investors for sustainable finance.
In general: Literature study. Data collection and cleaning, using and combining existing financial databases. Employing and/or developing econometric methodology. Empirical analyses and interpretation. Interdisciplinary research.
The project will result in three to four articles, that will be targeted for publication in the top finance journals (ERIM P, P* list). In addition, a PhD thesis will be completed that combines these articles.
This is a joint position in the “Values in Finance” project within the Erasmus Initiative Dynamics of Inclusive Prosperity. The initiative combines members of the Erasmus School of Philosophy (ESPhil), Rotterdam School of Management (RSM), and Erasmus School of Law (ESL), and channels their expertise into ambitious multi-disciplinary research projects. Work is done in collaborative teams across different disciplines.
This research is expected to generate important implications for the society and the economy given the role financial markets and institutions play in fostering sustainable and inclusive economy that fosters prosperity.
This project is expected to generate important implications for both the academic literature and the finance industry, especially in relation to sustainable and inclusive finance.
About the Employer: Erasmus Research Institute of Management (ERiM)
ERIM offers fully-funded and salaried PhD positions, which means that accepted PhD candidates become employees (promovendi) of Erasmus University Rotterdam. Salary and benefits are in accordance with the Collective Labour Agreement for Dutch Universities (CAO).
Literature References & Data Sources
- Bansal R., D. Kiku, and M. Ochoa, 2016, Price of long-run temperature shifts in capital markets, NBER Working Paper No. 22529.
- Boons, M., F. Duarte, F de Roon, and M. Szymanowska, 2020, Time-Varying Inflation Risk and Stock Returns, Journal of Financial Economics 136, pg.444-470.
- Cosemans,M, X. Hut, and, M.A. van Dijk, 2021, Climate Change and Long-Horizon Portfolio Choice: Combining Theory and Empirics, working paper Erasmus Univeristy Rotterdam.
- Dreu, CKW., and M.A. van Dijk, 2018, Climatic Shocks Associate with Innovation in Science and Technology, PLoS One (online), 13(1).
- Edmans, A., 2011, Does the stock market fully value intangibles? Employee satisfaction and equity prices, Journal of Financial Economics 101, 621–640.
- Engle, R. F., Giglio, S., Kelly, B., Lee, H., and Stroebel, J., 2020, Hedging climate change news, The Review of Financial Studies, 33(3), 1184–1216.
- Heilmann C., M. Szymanowska, and M. Vergara Fernández, 2021, Sustainability in Financial Economics: narrow and broad, working paper Erasmus University Rotterdam.
- Heilmann C., M. Szymanowska, and M. Vergara Fernández, 2021, Testability concerns in financial economics: a philosophy of science perspective, working paper Erasmus University Rotterdam.
- Hong, Harrison, and Marcin Kacperczyk, 2009, The price of sin: The effects of social norms on markets, Journal of financial economics 93, 15–36.
- Huij, J. and M. Verbeek, 2009, On the use of multifactor models to evaluate mutual fund performance, Financial Management 38, 75-102.
- Ilhan, Emirhan, Philipp Krueger, Zacharias Sautner, and Laura Starks, 2020, Climate risk disclosure and institutional investors, Swiss Finance Institute Research pp. 19–66.
- Jiang, H., M. Verbeek, and Y. Wang, 2014, Information content when mutual funds deviate from benchmarks, Management Science 60, 2038-2053.
- Krueger, P., Zacharias Sautner, and Laura Starks, 2020, The importance of climate risks for institutional investors, Review of Financial Studies 33, 1067–1111.
- Pastor, L., R. F. Stambaugh, and L. A. Taylor, 2020, Sustainable investing in equilibrium, Journal of Financial Economics, forthcoming.
- Pedersen, L. H., S. Fitzgibbons, and L. Pomorski, 2020, Responsible investing: The ESG-Efficient frontier, Journal of Financial Economics, forthcoming.
- Renneboog, L. J. ter Horst, and C. Zhang, 2008, The price of ethics and stakeholder governance: The performance of socially responsible mutual funds, Journal of Corporate Finance 14, 302–322.
- Rösch, D., A. Subrahmanyam, and M.A. van Dijk, 2017, The dynamics of market efficiency, Review of Financial Studies 30, 1151-1187.
- Schoenmaker, D., 2017, From risk to opportunity: A framework for sustainable finance, working paper Erasmus Univeristy Rotterdam.
- Schoenmaker, D., and Schramade, W., 2019, Principles of Sustainable Finance, Oxford University Press.
- Schoenmaker, D., and Schramade, W., 2019, Investing for long-term value creation, Journal of Sustainable Finance and Investment, 9(4), 356-377.
- Starks, Laura T. and Venkat, Parth and Zhu, Qifei, 2017, Corporate ESG Profiles and Investor Horizons, working paper University of Texas at Austin.
- Szymanowska, M., de Roon, FA., Nijman, T., and van den Goorbergh, R., 2014, An Anatomy of Commodity Futures Risk Premia, The Journal of Finance, 69(1), 453-482.
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