Predicting Volatility Index According to Technical Index and Economic Indicators on the Basis of Deep Learning Algorithm

The Volatility Index (VIX) is a real-time index that has been used as the first measure to quantify market expectations for volatility, which affects the financial market as a main actor of the overall economy that is sensitive to the environmental and social aspects of investors and companies. The VIX is calculated using option prices for the S&P 500 Index (SPX) and is expressed as a percentage. Taking into account that VIX only shows the implicit volatility of the S&P 500 for the next 30 days, the authors develop a model for a near-optimal state trying to avoid uncertainty and insufficient accuracy. The researchers are trying to make a contribution to the theory of socially responsible portfolio management. The developed approach allows potential investments to make decisions regarding such important topics as ethical investing, performance analysis, as well as sustainable investment strategies. The approach of this research allows to use deep probabilistic convolutional neural networks based on conditional variance as a linear function of errors with the aim of estimating and predicting the VIX. For this purpose, the use of technical indicators and economic indexes such as Chicago Board Options Exchange (CBOE) VIX and S&P 500 is considered. The results of estimating and predicting the VIX with the proposed method indicate high precision and create a certainty in modeling to achieve the goals.

Shareholder Engagement on Environmental, Social, and Governance Performance

We study behind-the-scenes investor activism promoting environmental, social, and governance (ESG) improvements by means of a proprietary dataset of a large international, socially responsible activist fund. We examine the activist’s target selection, forms of engagement, impact on ESG performance, drivers of success, and effects on the targets’ operations and value creation. Target firms are typically large and visible, perform well, and have high liquidity (stock turnover) and low ESG performance. Engagement induces ESG rating adjustments: firms with poor ex ante ESG ratings experience a ratings increase after complying with the activist’s demands, whereas firms with high ex ante ESG ratings experience a ratings decrease following the revelation of their ESG problems. Activism that is focused on environmental and social issues is more likely to succeed if targets are ESG-sensitive (i.e., they have a strong ex ante ESG profile). Successful engagements boost targets’ sales. Risk-adjusted excess stock returns (with four-factor adjustment and relative to a matched sample of non-engaged firms) of successful engagements outperform those of unsuccessful engagements by 2.7%. Results are especially strong for firms with low ex ante ESG scores. Specifically, targeted firms in the lowest ex ante ESG quartile outperform matched peers by 7.5% in the year after the end of the engagement. Our results thus suggest that the activism regarding corporate social responsibility generally improves ESG practices and corporate sales and is profitable to the activist. Taken together, we provide direct evidence that ethical investing and strong financial performance, both from the activist’s and the targeted firm’s perspective, can go hand-in-hand together.

Investing and Intentions in Financial Markets

Ethical investors are widely thought of two have two main goals. The negative goal of avoiding their investments to be morally tainted. The positive goal to further a certain ethical value they embrace or some normatively laden idea they hold by investing their money in a certain company. In light of these goals, the purpose of this essay is to provide an account of how we can explicitly include investors’ intentions when conceiving of ethical investment. The central idea is that an investor’s intentions may act as both a negative and a positive qualifier for making investing ethical. If we subscribe to this account, there are interesting upshots with respect to how ethical investing compares to ethical giving as effective altruists construe it.