Page 115 - Undergraduate Research Opportunities Program Proceedings 2017-18

School of Business and Management
Department of Finance

Department of Finance

Climate risk tools, usage and implications

Supervisor: BENZ Entela / FINA
Student: LIU Suwan / EVMT Course: UROP1100, Spring

As Paris Accord was put into effect, climate change has been gaining attention from all parties and sectors. Financial
market is no exception. Although a unified scoring tool for companies’ resilience against climate change risks is expected,
nowadays, there is no well-established tool that are applicable to all. This report intends to implement one of the tool to
real-life scenario and illustrate the implications of climate risks on companies’ financial performance.

Supervisor: BENZ Entela / FINA
Student: HUI Yiting / EVMT Course: UROP1100, Summer

Nowadays, investors are facing increasing two-sided climate risk to their assets: physical risk and transition risk. Physical
risk is linked to potential adverse impacts resulting from climate change, extreme weather patterns, sea level rise etc.
Transition risk is the consequence of tightening climate policies and regulations across the world, trying to drive a low-
carbon economy and combat global warming. Both physical risk and transition risk can lead to real financial impact on
companies and assets. This study aims to investigate the extent of correlation between climate risk of companies and
their business performance across different countries and across different sectors. Hopefully this study will give
investors more insight on the influence of climate risk on companies’ valuation and profitability and motivate them to
shift their capital to low climate risk businesses and operations.

ESG factors in Asia: Development, Trends and Market Usage

Supervisor: BENZ Entela / FINA
Student: LIU Yaoyang / QFIN Course: UROP1100, Spring

ESG investing is an increasingly popular and significant topic worldwide, and has a fast growth and potential in Asia
particularly. This report studies the predictability of ESG factors on the key financial performance of companies, and
then step further which specific indicator has the most explanatory power in each section. To realize fair comparison, all
the ESG scores are normalized by the industry average. The regression results show that S factor has the best
performance in predicting stock return, while E and G are also statistically significant in determining forward PE and ROE.
For certain sections, companies are recommended to focus on water intensity per sales in environmental factor, total
recordable incident rate in Social factor and percentage of independent directors and board size in governance factor.
The overall results give an integrated strategy for investors and corporates to develop their own business.

Supervisor: BENZ Entela / FINA
Student: RUAN Kaiyue / QFIN Course: UROP1000, Summer

An increasing number of companies start ESG investing, and an increasing number of investors have focused on the ESG
impact behind their capital allocation decisions. To date however, the prior academic literature has not distinguished the
useful E scores in China A-shares market. We investigate the effect of E scores on the valuation multiples. Using a
normalized sample of 221 Chinese companies co-listed in China A-Shares and MSCI China Index, we find most of E scores
are statistically important. Total GHG CO2 Intensity per Sales and Percentage water recycled have significance in

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