ESG investing: A chance to reduce systemic risk

Cerqueti, Roy; Ciciretti, Rocco; Dalò, Ambrogio; Nicolosi, Marco

doi:10.1016/j.jfs.2021.100887

Cited by 95 publications

(23 citation statements)

References 48 publications

(56 reference statements)

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“…Furthermore, during the COVID-19 pandemic, this correlation increased much more for the low-ESG funds. These results are in accordance with those of Roy and Roy [41] and Cerqueti et al [42]. The most sustainable investment funds represented instruments that protected against the negative effects of exogenous shocks.…”

Section: Multivariate Garchsupporting

confidence: 92%

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Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis

Pisani

Russo

2021

Sustainability

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We investigated the financial performance of a sample of sustainable investment funds in terms of returns, volatility, and contagion risk during the financial crisis caused by the COVID-19 pandemic. In order to conduct a more reliable analysis, we considered a homogenous sample composed of 30 funds declaring the same benchmark (the MSCI Europe index). The Morningstar Sustainability ESG rating was used to determine the level of sustainability of each fund. Both the GARCH models and the event study suggest that funds with a higher ESG rating were able to outperform other funds during the COVID-19 period. These funds had a greater level of resilience and exhibited a lower level of risk contagion during the pandemic. These instruments appear to assume the role of risk protection and should be considered a means of both promoting sustainable growth and minimizing portfolio risk.

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Section: Multivariate Garchsupporting

confidence: 92%

“…Sustainable finance is also considered a useful tool against the risk of contagion. As is well known, the financial markets are strongly correlated and during periods of crisis, there is increased co-movement of prices and stock returns, so the risk of financial contagion is extremely severe (e.g., [38][39][40][41][42]).…”

Section: Related Literaturementioning

confidence: 99%

Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis

Pisani

Russo

2021

Sustainability

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“…The development of quantitative strategies is inseparable from the writing of code, and usually, the strategy development languages used in quantitative platforms are Python, C, etc. [ 10 ]. In recent years, the assistance of artificial intelligence, cloud computing, big data, and other high technology has made quantitative also enter a new stage of development [ 11 ].…”

Section: Related Workmentioning

confidence: 99%

Dynamic Cause Analysis of Quantitative Investment Using Grey Correlation Analysis

Rong

2022

Computational Intelligence and Neuroscience

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Quantitative investment itself has very complex operational logic, and how to effectively analyze the dynamic causes of quantitative investment has always been an urgent problem to be solved. This paper proposes a dynamic quantitative analysis of investment based on the gray relational analysis model, which reduces the influence of subjective factors and improves the objectivity of evaluation results through the selection of reference sequences. The results show that the method has significant analytical performance and can provide users with good guidance for quantitative investment.

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“…ESG indices have been developed, but the reliability of ESG data is questionable and ESG indices do not outperform their parent index, the non-ESG index of this asset class, over time. 63 ESG-compatible investing does not necessarily require investing in a specific strategy or product. Some investors are unaware of ESG information and do not include it in their riskreturn preferences.…”

Section: Esg Themes and Investment Managementmentioning

confidence: 99%

The impact of the recovery and resilience facility on the Greek economy

Malliaropulos¹,

Papageorgiou²,

Vasardani³

et al. 2021

EconBull

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This paper assesses the macroeconomic impact of the stimulus and the structural reforms supported by the Recovery and Resilience Facility (RRF) on the Greek economy. The set-up is a Dynamic Stochastic General Equilibrium (DSGE) model that is augmented to account for the main features of Greece’s plan under the RRF framework. The results suggest that the full and timely implementation of the Recovery and Resilience Plan (RRP) implies significant benefits to the Greek economy. Real GDP, private investment and employment can potentially increase by 6.9%, 20% and 4%, respectively, by 2026. Tax revenues also increase, creating fiscal space that can be used to further boost economic activity. The implementation of structural reforms included in the RRP is necessary for maintaining important benefits also in the long run. The results indicate that the potential increase in long-run GDP from selected quantifiable reforms ranges between 6% and 9.9%, with gains extending to other macro variables.

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ESG investing: A chance to reduce systemic risk

Cited by 95 publications

References 48 publications

Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis

Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis

Dynamic Cause Analysis of Quantitative Investment Using Grey Correlation Analysis

The impact of the recovery and resilience facility on the Greek economy

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