create a website

Catalyzing Sustainable Investment: Revealing ESG Power in Predicting Fund Performance with Machine Learning. (2025). Carmona, Pedro ; Momparler, Alexandre ; Climent, Francisco.
In: Computational Economics.
RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10618-0.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 35

References cited by this document

Cocites: 23

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Abate, G., Basile, I., & Ferrari, P. (2021). The level of sustainability and mutual fund performance in Europe: An empirical analysis using ESG ratings. Corporate Social Responsibility and Environmental Management, 28(5), 1446–1455. https://doi.org/10.1002/csr.2175 .

  2. Abdelsalam, A., Barake, S., & Elcheikh, A. (2020). Sustainable Investment and ESG Performance. Retrieved from https://www.researchgate.net/publication/342703817_Sustainable_Investment_and_ESG_Performance .
    Paper not yet in RePEc: Add citation now
  3. Biecek, P., & Burzycowski, T. (2020). Explanatory Model Analysis. Retrieved from https://pbiecek.github.io/ema/preface.html [Accessed 21 Sept. 2022].
    Paper not yet in RePEc: Add citation now
  4. Biecek, P., Maksymiuk, S., & Baniecki, B. (2022). DALEX: Descriptive mAchine Learning EXplanations. R package version 2.4.0. Retrieved from https://cran.r-project.org/web/packages/DALEX/index.html .
    Paper not yet in RePEc: Add citation now
  5. Breiman, L. (2001). Random forests. Machine Learning, 45(1), 5–32. https://doi.org/10.1023/A:1010933404324 .
    Paper not yet in RePEc: Add citation now
  6. Broadstock, D., Chan, K., Cheng, L., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance Research Letters, 38, 101716. https://doi.org/10.1016/j.frl.2020.101716 .

  7. Carmona, P., Climent, F., & Momparler, A. (2019). Predicting failure in the US banking sector: An extreme gradient boosting approach. International Review of Economics & Finance, 61, 304–323.

  8. Chen, T., & Guestrin, C. (2016). XGBoost: A scalable Tree Boosting System. arXiv:1603.02754v3 [cs.LG].
    Paper not yet in RePEc: Add citation now
  9. Climent, F., Momparler, A., & Carmona, P. (2019). Anticipating bank distress in the Eurozone: An Extreme Gradient boosting approach. Journal of Business Research, 101, 885–896.

  10. Collins, S. (2020). Advancing environmental, social, and governance investing. A holistic approach for investment management firms. Deloitte report. Retrieved June 22, from: https://www2.deloitte.com/us/en/insights/industry/financial-services/esg-investing-performance.html .
    Paper not yet in RePEc: Add citation now
  11. DeMiguel, V., Gil-Bazo, J., Nogales, F., & Santos, A. (2023). Machine learning and fund characteristics help to select mutual funds with positive alpha. Journal of Financial Economics, 150(3), 102737. https://doi.org/10.1016/j.jfineco.2023.103737 .

  12. Dolvin, S., Fulkerson, J., & Krukover, A. (2019). Do good guys finish last? The relationship between Morningstar sustainability ratings and mutual fund performance. The Journal of Investing, 28(2), 77–91. https://doi.org/10.3905/joi.2019.28.2.077 .
    Paper not yet in RePEc: Add citation now
  13. Doukas, H., Xidonas, P., & Mastromichalakis, N. (2022). How successful are energy efficiency investments? A comparative analysis for classification and performance prediction. Computational Economics, 59, 579–598. https://doi.org/10.1007/s10614-021-10098-6 .
    Paper not yet in RePEc: Add citation now
  14. Friedman, J. H. (2001). Greedy function approximation: A gradient boosting machine. The Annals of Statistics, 29(5), 1189–1232.
    Paper not yet in RePEc: Add citation now
  15. Friedman, J. H. (2002). Stochastic gradient boosting. Journal of Computational Statistics & Data Analysis, 38(4), 367–378.

  16. Friedman, J., Hastie, T., & Tibshirani, R. (2000). Additive logistic regression: A statistical view of boosting (with discussion and a rejoinder by the authors). The Annals of Statistics, 28(2), 337–407.
    Paper not yet in RePEc: Add citation now
  17. Graham, J. E., Lassala, C., & Ribeiro-Navarrete, B. (2019). A fuzzy-set analysis of conditions influencing mutual fund performance. International Review of Economics and Finance, 61, 324–336.

  18. Hall, P., & Gill, N. (2019). Introduction to machine learning interpretability (2nd ed.). O’Reilly Media.
    Paper not yet in RePEc: Add citation now
  19. Hastie, T., Tibshirani, R., & Friedman, J. (2009). The elements of statistical learning (2nd ed.). Springer.
    Paper not yet in RePEc: Add citation now
  20. James, G., Witten, D., Hastie, T., & Tibshirani, R. (2017). An introduction to statistical learning (2nd ed.). Springer.
    Paper not yet in RePEc: Add citation now
  21. Kaniel, R., Lin, Z., Pelger, M., & Van Nieuwerburgh, S. (2023). Machine-learning the skill of mutual fund managers. Journal of Financial Economics, 150(1), 94–138. https://doi.org/10.1016/j.jfineco.2023.07.004 .

  22. Kuhn, M., & Vaughan, D. (2021). parsnip: A Common API to Modeling and Analysis Functions. R package version 0.1.5. Retrieved June 2022, from https://CRAN.R-project.org/package=parsnip .
    Paper not yet in RePEc: Add citation now
  23. LeDell, E., Gill, N., Aiello, S. (2022). h2o: R Interface for the ‘H2O’ Scalable Machine Learning Platform. R package version 3.36.0.1. Retrieved June 2022, from https://CRAN.R-project.org/package=h2o .
    Paper not yet in RePEc: Add citation now
  24. Li, B., & Rossi, A. G. (2021). Selecting mutual funds from the stocks they hold: A machine learning approach. Available at SSRN 3737667 papers. ssrn.com .
    Paper not yet in RePEc: Add citation now
  25. Losada, R. (2022). Periodic public information on investment funds and how it influences investors’ decisions; CNMV Working Paper Nº 76.

  26. Morningstar (2021). Global Sustainable Fund Flows: Q4 2021 in Review.
    Paper not yet in RePEc: Add citation now
  27. Morningstar (2022). Global Sustainable Fund Flows: Q4 2022 in Review.
    Paper not yet in RePEc: Add citation now
  28. Natekin, A., & Knoll, A. (2013). Gradient boosting machines, a tutorial. Frontiers in Neurorobotics, 7, 21. https://doi.org/10.3389/fnbot.2013.00021 .
    Paper not yet in RePEc: Add citation now
  29. R Core Team (2022). R: A language and environment for statistical computing. R Foundation for Statistical Computing, Vienna, Austria. Retrieved June 2022, from http://www.R-project.org/ .
    Paper not yet in RePEc: Add citation now
  30. Raghunandan, A., & Rajgopal, S. (2022). Do ESG funds make stakeholder-friendly investments? Review of Accounting Studies, 27, 822–863. https://doi.org/10.1007/s11142-022-09693-1 .

  31. Ruf, B., Das, N., Chatterjee, S., & Sunder, A. (2019). Investments in ESG-Rated mutual funds: Is good better than great? The Journal of Wealth Management, 22(1), 56–61. https://doi.org/10.3905/jwm.2019.1.070 .
    Paper not yet in RePEc: Add citation now
  32. Steen, M., Taghawi, J., & Gjolberg, O. (2020). Is there a relationship between Morningstar’s ESG ratings and mutual fund performance? Journal of Sustainable Finance & Investment, 10(4), 349–370. https://doi.org/10.1080/20430795.2019.1700065 .
    Paper not yet in RePEc: Add citation now
  33. Whelan, T., Atz, U., Van Holt, T., & Clark, C. (2021). ESG and financial performance: Uncovering the Relationship by Aggregating Evidence from 1,000 Plus Studies Published between 2015–2020. Center for Sustainable Business (NYU – Stern). Retrieved June 22, from https://www.stern.nyu.edu/sites/default/files/assets/documents/ESG%20Paper%20Aug%202021.pdf .
    Paper not yet in RePEc: Add citation now
  34. Wickham, H. (2022). Tidyverse. R package version 1.3.2. Retrieved June 2022, from https://tidyverse.tidyverse.org , https://github.com/tidyverse/tidyverse.
    Paper not yet in RePEc: Add citation now
  35. Xidonas, P., & Essner, E. (2024). On ESG portfolio construction: A multiobjective optimization approach. Computational Economics, 63, 21–45. https://doi.org/10.1007/s10614-022-10327-6 .

Cocites

Documents in RePEc which have cited the same bibliography

  1. Catalyzing Sustainable Investment: Revealing ESG Power in Predicting Fund Performance with Machine Learning. (2025). Carmona, Pedro ; Momparler, Alexandre ; Climent, Francisco.
    In: Computational Economics.
    RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10618-0.

    Full description at Econpapers || Download paper

  2. Channel structures and ESG initiatives for logistics service providers. (2025). Wang, Pang Paul ; He, Shulin ; Zhang, Mengdi ; Zhao, Zhiheng ; Huang, George Q.
    In: Transport Policy.
    RePEc:eee:trapol:v:166:y:2025:i:c:p:18-31.

    Full description at Econpapers || Download paper

  3. Investigating the impact of ESG ratings on ETF performance during market disruptions: Evidence from the COVID-19 pandemic and Russian (full-scale) invasion of Ukraine. (2025). Sarajoti, Pattarake ; Sahin, Olgun Fuat ; Phiromswad, Piyachart ; Supatgiat, Chonawee.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001606.

    Full description at Econpapers || Download paper

  4. Entrepreneurial Motivations and ESG Performance Evidence from Automobile Companies Listed on the Chinese Stock Exchange. (2025). Cui, Jun.
    In: Papers.
    RePEc:arx:papers:2503.21828.

    Full description at Econpapers || Download paper

  5. Examining the impact of board gender diversity and regional differentiation in the ESG‐corporate performance nexus: Evidence from financial service industry. (2024). Kiong, Irene Wei ; Lu, Wenmin ; Fauzi, Muhammad Ashraf ; Huang, Hsuehli ; Tran, Thu Huong.
    In: Managerial and Decision Economics.
    RePEc:wly:mgtdec:v:45:y:2024:i:6:p:4105-4124.

    Full description at Econpapers || Download paper

  6. Mixtures of generalized normal distributions and EGARCH models to analyse returns and volatility of ESG and traditional investments. (2024). Iannone, Barbara ; Gattone, Stefano Antonio ; Duttilo, Pierdomenico.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:108:y:2024:i:4:d:10.1007_s10182-023-00487-7.

    Full description at Econpapers || Download paper

  7. Impact of corporate environmental uncertainty on environmental, social, and governance performance: The role of government, investors, and geopolitical risk. (2024). Guo, Xiao ; Cheng, Pengfei ; Choi, Baekryul.
    In: PLOS ONE.
    RePEc:plo:pone00:0309559.

    Full description at Econpapers || Download paper

  8. Moral mentor of the company? Multifaceted influence of sustainable and responsible funds on corporate social responsibility disclosure in China. (2024). Liu, Yupei ; Wang, Lixiang.
    In: Asia Pacific Journal of Management.
    RePEc:kap:asiapa:v:41:y:2024:i:4:d:10.1007_s10490-023-09900-w.

    Full description at Econpapers || Download paper

  9. Sustainability ratings and fund performance: New evidence from European ESG equity mutual funds. (2024). Papathanasiou, Spyros ; Koutsokostas, Drosos.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001259.

    Full description at Econpapers || Download paper

  10. ESG investment preference and fund vulnerability. (2024). Wang, HU.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005185.

    Full description at Econpapers || Download paper

  11. Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Diaz, Antonio ; Escribano, Ana.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

    Full description at Econpapers || Download paper

  12. Environmental, social, and governance activities and firm performance: Global evidence and the moderating effect of market competition. (2023). Jung, Ye Lim ; Yoo, Hyoung Sun.
    In: Corporate Social Responsibility and Environmental Management.
    RePEc:wly:corsem:v:30:y:2023:i:6:p:2830-2839.

    Full description at Econpapers || Download paper

  13. Corporate social responsibility performance and the cost of capital in BRICS countries. The problem of selectivity using environmental, social and governance scores. (2023). Fandella, Paola ; Sironi, Emiliano ; Sergi, Bruno S.
    In: Corporate Social Responsibility and Environmental Management.
    RePEc:wly:corsem:v:30:y:2023:i:4:p:1712-1722.

    Full description at Econpapers || Download paper

  14. Planetary Welcare principles for just and sustainable futures: a compass for system change, trade reforms, and transformations. (2023). Uehara, Thiago Kanashiro.
    In: SocArXiv.
    RePEc:osf:socarx:2f9da_v1.

    Full description at Econpapers || Download paper

  15. Do ESG Risk Scores Influence Financial Distress? Evidence from a Dynamic NDEA Approach. (2023). Tan, Yong ; Fonseca, Thiago ; Wanke, Peter ; Antunes, Jorge.
    In: Sustainability.
    RePEc:gam:jsusta:v:15:y:2023:i:9:p:7560-:d:1139520.

    Full description at Econpapers || Download paper

  16. When trackers are aware of ESG: Do ESG ratings matter to tracking error portfolio performance?. (2023). Zhang, YI ; Wen, Limin ; Li, Junxue ; Ling, Aifan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:125:y:2023:i:c:s026499932300158x.

    Full description at Econpapers || Download paper

  17. A flexible estimation of sectoral portfolio exposure to climate transition risks in the European stock market. (2023). Zanin, Luca.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000382.

    Full description at Econpapers || Download paper

  18. Nonlinear effects of ESG on energy‐adjusted firm efficiency: Evidence from the stakeholder engagement of apple incorporated. (2022). Lu, Wenmin ; Kweh, Qian Long ; Kiong, Irene Wei ; Ren, Chunya.
    In: Corporate Social Responsibility and Environmental Management.
    RePEc:wly:corsem:v:29:y:2022:i:5:p:1231-1246.

    Full description at Econpapers || Download paper

  19. EU financial regulations and social impact measurement practices: A comprehensive framework on finance for sustainable development. (2022). Boni, Leonardo ; Bengo, Irene ; Sancino, Alessandro.
    In: Corporate Social Responsibility and Environmental Management.
    RePEc:wly:corsem:v:29:y:2022:i:4:p:809-819.

    Full description at Econpapers || Download paper

  20. ESG-Valued Portfolio Optimization and Dynamic Asset Pricing. (2022). Mittnik, Stefan ; Rachev, Svetlozar T ; Lauria, Davide ; Lindquist, Brent W.
    In: Papers.
    RePEc:arx:papers:2206.02854.

    Full description at Econpapers || Download paper

  21. Environmental, Social, Governance: Implications for businesses and effects for stakeholders. (2021). Lagasio, Valentina ; Engle, Robert ; Cucari, Nicola ; Brogi, Marina.
    In: Corporate Social Responsibility and Environmental Management.
    RePEc:wly:corsem:v:28:y:2021:i:5:p:1423-1425.

    Full description at Econpapers || Download paper

  22. Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis. (2021). Pisani, Fabio ; Russo, Giorgia.
    In: Sustainability.
    RePEc:gam:jsusta:v:13:y:2021:i:23:p:13253-:d:691546.

    Full description at Econpapers || Download paper

  23. Corporate Fight against the COVID-19 Risks Based on Technologies of Industry 4.0 as a New Direction of Social Responsibility. (2021). Litvinova, Tatiana N ; Sozinova, Anastasia A ; Inshakova, Agnessa O.
    In: Risks.
    RePEc:gam:jrisks:v:9:y:2021:i:12:p:212-:d:691078.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-04 03:03:51 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.