Quantitative Sustainable Economics and Finance 
Time: 11.00 am
Date:27th of November 2025
Room 3001

Hens THORSTEN (UZH ) “Shareholder Engagement in an ESG-CAPM with Incomplete Markets: Much ado about nothing?”

Abstract : We give a general equilibrium model of incomplete asset markets in which investors care not only about risk and returns but also ESG consequences. On the firm’s objective, we consider two notions of equilibrium, a market value maximization equilibrium and a Dreze criterion maximization equilibrium. The market value is calculated under the representative investor’s utility gradient, while the Dreze criterion is calculated under the weight average of the shareholders’ utility gradients, where the weights are proportional to shareholdings. In a Dreze criterion maximization equilibrium shareholders express their views on the decision of the firm. Thus, we interpret it as an equilibrium with shareholder engagement, and take the difference in social welfare between the two equilibria as the consequence of shareholder engagement. We establish the existence of these equilibria. We give an equivalent condition for the two to coincide, which means that shareholder engagement makes no difference in social welfare. We show, moreover, that the difference in social welfare between the Dreze and the market value equilibrium is positive but at most of second order, hence negligible, in a sense that can be made precise

Organizers:  Patricia Crifo, Emmanuel Gobet, Peter Tankov, Gauthier Vermandel, and Olivier David Zerbib

Sponsors:
CREST-CMAP