A factor approach to the performance of ESG leaders and laggards

Naffa, Helena; Fain, Máté

doi:10.1016/j.frl.2021.102073

Cited by 55 publications

(30 citation statements)

References 46 publications

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“…• the market does not value for ESG -investors tie ESG disclosure with higher exposure for risk (Richardson and Welker, 2001). In the current state of the academic debate, authors found evidence of no statistically significant impact of ESG performance on market results of the firm (Halbitter et al, 2015;Naffa and Fain, 2021). Similar results were reported by Velte (2017), who proved no relationship between ESG performance and Tobin's Q of German stock companies.…”

Section: Literature Reviewmentioning

confidence: 82%

ESG Rating and Market Valuation of the Firm: Sector Approach

Gawęda¹

2022

EJSD

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The main aim of the study was to assess the impact of the ESG rating of the company on its market valuation. The research sample included stock companies of real economy sectors of financial markets of European Union Member States in years 2018-2020. The research hypothesis stated that across financial markets of European Union there are sectors in which there is a strong and positive correlation between high ESG rating of the company and its market value. The paper analysed selected measures of descriptive statistics of used variables, Pearson correlation coefficient, and constructed an Ordinary Least Squared model assessing the impact of ESG rating on the surveyed companies’ market value. Both the composites of ESG rating (ESG and ESGC) and the individual components (E, S, G and C) were analysed. Financial data and ESG ratings were extracted from Refinitiv Eikon database. Undertaken research proved ESG disclosure and rating to be the determinant of the companies market value in specific sectors, while companies controversies appeared to be the destructors of market value of companies across all sectors. Undertaken study adds new insights to the debate on the relation between companies ESG and financial performance by applying sector approach to the analysis.

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Section: Literature Reviewmentioning

confidence: 82%

ESG Rating and Market Valuation of the Firm: Sector Approach

Gawęda¹

2022

EJSD

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“…Cornel (2021) argues that proponents of ESG investments often conflate these benefits with higher expected returns. Similarly, PFP studies by (Naffa & Fain, 2022) mainly yielded negative results.…”

Section: Resultsmentioning

confidence: 99%

A Systematic Review of Sustainable Investment Approaches

Akala¹,

Neuhaus²,

Leary-Govender³

2022

IJEF

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The article examined three widely accepted approaches to sustainable investing: Socially Responsible Investing (SRI), Environmental, Social and Governance (ESG), and impact investing. Nevertheless, these sustainable investment strategies are under-institutionalised, characterised by a lack of consistent terminology and mixed return performance. Given that these inconsistencies are prevalent in academic research regarding sustainable investing, the paper aimed to perform a systematic review of related studies to compare, contrast and consolidate these sustainable investment approaches. The findings of this study reveal overlapping conceptual frameworks between SRI, ESG and impact investing. The paper recommends the development of a consistent conceptual framework for sustainable investing.

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“…There are no substantial differences between ESG and traditional indices (Plastun et al, 2022). There was not enough evidence for ESG factors to be a good complement to FF5 and PFPs, but they may be used as ESG indices, to measure investment portfolio sustainability risks (Naffa and Fain 2022). In terms of returns and risk, the more sustainable funds appeared to react better to the unexpected event of the epidemic (Pisani et al, 2021).…”

Section: Introductionmentioning

confidence: 99%

Dynamics of Volatility Spillover between Energy and Environmental, Social and Sustainable Indices

Babu

Lourdesraj

Hariharan³

et al. 2022

IJEEP

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The purpose of this research was to examine the dynamics of volatility spillover between energy and environmental, social, and sustainable indices. COVID19 prompted the research to select April 2019 to March 2022 as a sample period, and the respective data (Daily Prices) of the Nifty Energy and Nifty ESG indices were obtained from the National Stock Exchange of India Limited. The outcomes of the study confirmed that the daily returns of Nifty Energy and Nifty 100 ESG indices were not normally distributed and reached stationarity at level difference. Further, the study employed GARCH Models such as ARCH, GARCH (1,1), and GARCH-M to determine conditional volatility, and it validated the ARCH influence on the daily returns of the Nifty Energy and Nifty 100 ESG, during the study period

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A factor approach to the performance of ESG leaders and laggards

Cited by 55 publications

References 46 publications

ESG Rating and Market Valuation of the Firm: Sector Approach

ESG Rating and Market Valuation of the Firm: Sector Approach

A Systematic Review of Sustainable Investment Approaches

Dynamics of Volatility Spillover between Energy and Environmental, Social and Sustainable Indices

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