Percorrer por autor "Francisco, Paulo Morais"
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- The effects of country governance quality on corporate sustainability and ethical behaviourPublication . Francisco, Paulo MoraisUsing institutional theory, we examine how country governance affects two ESG outcomes: ESG performance and ESG controversies. With Refinitiv/LSEG data for ~146,000 firm‐years in 86 countries (2002–2023) and World Bank WGI, we apply a Mundlak within/between decomposition to test complementarity versus substitution (performance) and prevention versus detection (controversies). Better governance is strongly associated with higher ESG performance—overall and across E, S and G—especially cross‐country. Yet governance also predicts more reported controversies, consistent with detection/visibility rather than worse conduct. Instrumental Variable and DiD tests corroborate these results. JEL Classification: D02, M14, Q56, C23
- ESG variations across banking loan types: evidence from european listed banksPublication . Francisco, Paulo Morais; Couto, EduardoBuilding on social‐capital theory and transaction‐cost theory, we examine whether European banks' rated ESG performance varies systematically with the composition of their loan portfolios. Merging Refinitiv ESG scores with Orbis Bank Focus loan‐ book data for 51 EU‐listed banks over 2005–2022, we estimate pooled OLS, random‐effects, fixed‐effects, lagged‐variable, and dynamic System‐GMM specifications. The evidence points to one robust regularity and two more qualified patterns. First, banks with higher mortgage‐loan shares tend to have lower ESG ratings: a one‐standard‐deviation increase in mortgage intensity is associated with an approximately three‐point lower composite ESG score and up to five points lower environmental pillar score, and the negative mortgage association remains visible in the dynamic System‐GMM models. Second, consumer‐loan intensity is positively associated with ESG ratings in random‐effects, fixed‐effects, and lagged fixed‐effects specifications, particularly for the environmental and social pillars, but this association is not statistically significant in the dynamic System‐GMM models. Third, corporate‐loan exposure shows no stable relationship with overall ESG ratings. We interpret these patterns as consistent with a trust‐intensity mechanism: ESG commitments and lending technologies appear to align differently across collateral‐rich, standardised lending and softer‐information retail activities.
- Institutional ownership, free float, and systematic riskPublication . Francisco, Paulo MoraisThis study investigates how institutional ownership (IO) and free float (FF) jointly affect firms’systematic risks. It contends that larger institutional stakes increase the dollar imbalance subject tocommon flows, whereas a greater tradable float broadens the set of funds that can tradesynchronously. Both channels should increase the stock market beta. Using a cross-section of12,655 non-financial firms from 93 countries, unconditional, downside (β−), and upside (β+) capitalasset pricing model betas over two-, three-, and five-year windows are analysed. The resultsconfirm that IO and FF are positively and significantly associated with unconditional and downsidebetas. These relationships remain robust after controlling for firm size, valuation, profitability,leverage, liquidity, and industry fixed effects, indicating that the ownership and tradability chan-nels explain systematic risk beyond standard fundamentals. The impact of IO is pronounced forupside beta. Two-stage least squares regressions corroborate the baseline results while addressingendogeneity concerns. Additional tests show that the IO effect is concentrated in advancedeconomies, while the FF effect remains robust across geography, development status, and firmsize. This study evinces the trading flow hypothesis that ownership concentration and tradabilityare the additive drivers of systematic risk.
- Labour intensity and systematic riskPublication . Francisco, Paulo MoraisWe examine whether firms labour intensity raises systematic risk. Drawing on 12,250 listed, non financial companies from 93 countries, we analyse CAPM betas over five , three and two year windows and separately evaluate their upside (β+) and downside (β− ) components. OLS results show that a one standard deviation increase in labour intensity lifts the five year beta by 0.08 and loads disproportionately on downside risk. Instrumenting labour intensity in a 2SLS framework magnifies the effect, confirming a causal link. Overall, our evidence shows that labour intensive firms worldwide carry higher betas because fixed wage bills magnify operating leverage; the extra risk is most visible when markets decline, making a company’s workforce composition a key driver of its equity risk.