ESG integration: value, growth and momentum

ESG integration: value, growth and momentum

This study provides finer-grained results on the financial effectiveness of ESG integration for mainstream active investment styles. We account for firm size, industry and country effects within ESG scores and introduce the concept of ESG risk materiality. Empirical evidence shows that US and Europe...

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Bibliographic Details
Published in:Journal of asset management Vol. 21; no. 1; pp. 32 - 51
Main Author: Kaiser, Lars
Format: Journal Article
Language:English
Published: London Palgrave Macmillan UK 01-02-2020
Palgrave Macmillan
Subjects:
Economics and Finance
Finance
Financial Services
Investment policy
Original Article
Risk Management
ESG materiality
Sustainable performance
Growth
Risk mitigation hypothesis
G11
Value
Momentum
Morningstar Style Box
G17
ESG integration
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Description
Summary:This study provides finer-grained results on the financial effectiveness of ESG integration for mainstream active investment styles. We account for firm size, industry and country effects within ESG scores and introduce the concept of ESG risk materiality. Empirical evidence shows that US and European investors can raise their portfolio’s ESG level and increase risk-adjusted performance at the same time. Therefore, we add to the growing demand for sustainable products in the traditional investment industry and overcome the notion of ESG integration being a burden to traditional investment strategies.
ISSN:1470-8272
1479-179X
DOI:10.1057/s41260-019-00148-y