Business administration & management
videos & podcasts
Facebook Instagram Linkedin Youtube

FTITI Zied

Professeur en Finance et directeur de recherche

Zied Ftiti is a Full Professor of Finance & Economics and Dean of Research at EDC Paris Business School. He directs the OCRE research lab and has a PhD in Economics from the University of Lyon and an HDR from CY Cergy Paris University. An expert in Financial Economics, Monetary Economics, and international Finance, he has authored three books and numerous top-tier journal articles. He is the founder of the Financial Economic Meeting and the Ethical Finance & Sustainability conferences.

Vidéos de cet auteur

03:38

Green Investing: Balancing Performance and Resilience

This study investigates how green investment assets improve optimal portfolio diversification in terms of tail downside risk. We use the wavelet conditional value-at-risk ratio to explore the benefits of adding green assets to conventional portfolios. We quantify risk based on the contagion between conventional stock market indices and green environmental assets, including a sustainability index, clean energy, and green bonds. Our findings emphasize the high variance between conventional stock pairs, providing evidence of contagion effects before and during the COVID-19 pandemic. We show that including clean energy and green bond indices in conventional portfolios reduces the extreme risk of portfolios. In addition, we find that the diversification benefits of clean energy, green bonds, and safe-haven investments apply especially in the short term during the pandemic. Finally, we show that the considered portfolios could not decrease long-term risk during the COVID-19 crisis because of the systematic risk spread. Our portfolio optimization design supports the superiority of clean energy and green bonds in portfolio diversification over the sustainability index. These insights can be used by portfolio managers to inform diversification in different investment horizons.
FTITI Zied - |
  • Research
  • Corporate and Market Finance
Voir toutes les vidéos

Podcasts de cet auteur

  • 00:03:38

Green Investing: Balancing Performance and Resilience

This study investigates how green investment assets improve optimal portfolio diversification in terms of tail downside risk. We use the wavelet conditional value-at-risk ratio to explore the benefits of adding green assets to conventional portfolios. We quantify risk based on the contagion between conventional stock market indices and green environmental assets, including a sustainability index, clean energy, and green bonds. Our findings emphasize the high variance between conventional stock pairs, providing evidence of contagion effects before and during the COVID-19 pandemic. We show that including clean energy and green bond indices in conventional portfolios reduces the extreme risk of portfolios. In addition, we find that the diversification benefits of clean energy, green bonds, and safe-haven investments apply especially in the short term during the pandemic. Finally, we show that the considered portfolios could not decrease long-term risk during the COVID-19 crisis because of the systematic risk spread. Our portfolio optimization design supports the superiority of clean energy and green bonds in portfolio diversification over the sustainability index. These insights can be used by portfolio managers to inform diversification in different investment horizons.
FTITI Zied - |
  • Research
  • Corporate and Market Finance
  • 00:03:44

Climate Risk: Does Perception Really Matter?

Increasing awareness of climate change and its potential consequences on financial markets has led to interest in the impact of climate risk on stock returns and portfolio composition, but few studies have focused on perceived climate risk pricing. This study is the first to introduce perceived climate risk as an additional factor in asset pricing models. The perceived climate risk is measured based on the climate change sentiment of Twitter dataset with 16 million unique tweets in the years 2010–2019. One of the main advantages of our proxy is that it allows us to capture both physical and transition climate risks. Our results show that perceived climate risk is priced into S&P 500 Index stock returns and is robust when different asset-pricing models are used. Our findings have implications for market participants, as understanding the relationship between perceived climate risk and asset prices is crucial for investors seeking to navigate the financial implications of climate change, and for policymakers aiming to promote sustainable financing and mitigate the potential damaging effects of climate risk on financial markets, and a pricing model that accurately incorporates perceived climate risk can facilitate this understanding.
FTITI Zied - |
  • Research
  • Corporate and Market Finance
Voir tous les podcasts

Auteurs de cette institution