06300743 Gouvernance d'entreprise et Gestion d'actifs / Investissement Socialement Responsable (ISR)

The classes have a focus on asset management and aim to provide students with theory and practice. Throughout the lectures, real world case studies and excercises are extensivley used to illustrate the challenging issue of responsible investment and integrating environemntal, social and governance (ESG) data into classical investment analysis. Group work and discussion are encouraged.  The module has the aim of giving students the confidence to apply and develop their financial and quantitative skills and abilities required to interpret relavant financial and extra financial information in an asset management context.  Students will gain the knowledge and experience of techniques that will enable them to recommend strategic responsible asset managemnt solutions and to implement them effectively. A range of financial theories and techniques combined with practical applications will be explored.

TARGETED KNOWLEDGE
1. Recall ESG reporting requirements and databases
2. Choose an appropriate responsible investment technique
3. Know where to search for relevant data and research in search for ESG alpha
4. Be familiar with the SRI industry: Global and local players, contact lists

TARGETED SKILLS
1. Implement asset valuation models  
2. Implement bond pricing and yield curve models
3. Execute ESG integration in valuation
4. Assess and interpret portfolio performance (risk/return) metrics
5. Manage and monitor a portfolio that integrates ESG variables

CSR DIMENSION
The course aims at the financial integration of environemental, social and governance (ESG) data in classical financial portfolio decisions. This practice, which is often labeled socially responsible investment (SRI) has become increasingly relevant for French and international fund managers confronted with increasing demand for extra financial analysis from investors.

1. Asset managment
1.1 A global view on the economy (Fed-model, Hussman index)
1.2 Sector analysis (factor models)
1.3 Individual stock valuation
1.4 Fixed income valuation
1.5 Asset Allocation

2. Strategy implementation
2.1 Tools of the trade: IBKR
2.2. Portfolio metrics and performance evaluation
2.3 Monitoring and parameter optimization

3. Responsible Investment
3.1 United Nations: Principles for Responsible investment
3.2 Integration of ESG data: the case of oddo securities

BOOKS USED AS REFERENCE:

• Bodie, Zvi. Investments. Tata McGraw-Hill Education, 2009.
• Damodaran, Aswath. Damodaran on valuation: security analysis for investment and corporate finance. Vol. 324. John Wiley & Sons, 2016.
• Fabozzi, Frank J., and Harry M. Markowitz, eds. The theory and practice of investment management. Vol. 118. John Wiley & Sons, 2002.
• Fama, Eugene F. Foundations of finance: portfolio decisions and securities prices. Basic Books (AZ), 1976.
• Grinold, Richard C., and Ronald N. Kahn. "Active portfolio management." (2000).
• Hebb, Tessa, et al. The routledge handbook of responsible investment. Routledge, 2015.

ADDITIONAL READINGS:

• Journal of finance
• Journal of financial markets
• Journal of International Financial Management and Accounting
• Financial Times
• The Economist
• Websites: www.responsible-investor.com

EMBLEMATIC BOOKS OR RESEARCH PAPERS REGARDING THE SUBJECT OF THE COURSE

• Hebb, Tessa, et al. The routledge handbook of responsible investment. Routledge, 2015.

PUBLICATIONS OF THE iaelyon FACULTY REGARDING THE SUBJECT OF THE COURSE

• Heimann, Marco, et al. "The experimental approach to trust in socially responsible investment funds." Finance and sustainability: Towards a new paradigm (2011): 169-183.
• Heimann, Marco, and Sébastien Pouget. "La recommandation des fonds ISR." Revue française de gestion 7 (2013): 149-162.
• Heimann, Marco. Experimental Studies on Moral Values in Finance: Windfall Gains, Socially Responsible Investment, and Compensation Plans. Diss. Toulouse 1, 2013.

Final Exam
Written 2 hours
Case study: financial analysis of a company

Continuing Examination
In class examination
Implementing a responsible portfolio

TEACHING METHODS
A mixture of lectures and seminars - run on a workshop style - will be used to introduce the topics and techniques. These topics and techniques will be explored further through the use of numerical examples and discussion. Case studies and videos will be used where appropriate and relevant. All relevant module information, required reading, lecture overheads, seminar questions etc are made available to the students.

TECHNOLOGY ENHANCED LEARNING:
We use proprietary online tutorials to explain the access and use of ESG data form different sources. One online meeting with a representative of MSCI (a data provider) is scheduled.

PRE-REQUISITE
A general interest in financial markets and quantitative methods is useful. Students should also be familiar with annual reports and financial statements.

ADDITIONAL READINGS:
To cach up a good book on corporate finance is helpful. For example Vernimmen, Pierre, et al. Corporate finance: theory and practice. John Wiley & Sons, 2014.