Essays in Sustainable Finance

Sustainability is a top priority for now and in the future. In the last years, it has generated increasing interest from private investors, investment funds, academics, and regulatory bodies. As companies have progressively been characterized by non-financial information focusing on sustainability measures, including environmental, social, and governance (ESG) scores, this thesis explores different topics around sustainability in finance using econometric tools. In the different chapters, my co-authors and I explore questions concerning the ability of ESG scores to capture financial risks using high-dimensional vine copula models. Additionally, as the European Banking Authority has acknowledged that ESG risks can potentially impact the financial system and economy, we analyze the effects of ESG scores on systemic risk. Then, considering that the world has changed dramatically in the COVID-19 pandemic and topics of diversity and inclusion have gained traction, a closer look at whether investors can benefit from considering workplace contentment in their investment decision is taken.