On the effects of uncertainty measures on sustainability indices: An empirical investigation in a nonlinear framework

Meira, Erick; Cunha, Felipe Arias Fogliano de Souza; Palazzi, Rafael Baptista; Klötzle, Marcelo Cabús; Maçaira, Paula

doi:10.1016/j.irfa.2020.101505

Cited by 25 publications

(11 citation statements)

References 60 publications

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“…Our sample comprises the companies listed in the stock exchanges where the first sustainability indices were created: Dow Jones Sustainability Index (DJSI) in the United States in 1999; FTSE4Good, with companies from European countries, established in 2001; socially responsible index (SRI) in South Africa, created in 2004, and corporate sustainability index (ISE), in Brazil, created in 2005. By providing systematic ESG information, as well as opportunities for passive and efficient portfolio creation, these indices encourage companies to improve their reporting and help asset managers to implement sustainable investing strategies (Cunha et al, 2020; De Oliveira, Cunha, Palazzi, Klötzle, & Medina, 2020). Therefore, the sample comprises companies from two emerging countries (South Africa and Brazil), and 13 developed countries (the United States, Belgium, Luxembourg, Denmark, France, Germany, Italy, Netherlands, Norway, Spain, Sweden, Switzerland, and the United Kingdom).…”

Section: Methodsmentioning

confidence: 99%

Testing the institutional difference hypothesis: A study about environmental, social, governance, and financial performance

2020

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Considering the institutional, cultural, and regulatory differences across countries, this research investigates the association between environmental, social, and governance (ESG) performance and financial performance of companies from emerging and developed countries. The institutional difference hypothesis (IDH) suggests that institutional weaknesses in emerging markets affect the relationship between financial performance and corporate social performance (CSP) of companies. This can occur because, under such circumstances, firms are more likely to prioritize the capital accumulation and not recognize the potential strategic benefit of socially responsible investments. To investigate this hypothesis, we performed a regression analysis of panel data study comprising 2,165 companies from developed and emerging countries, covering the period between 2007 and 2014. Our results suggest that there is a prevalence of the institutional environment in relation to the financial and ESG performances of companies. These results are in line with the logic of the IDH.

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Section: Methodsmentioning

confidence: 99%

Testing the institutional difference hypothesis: A study about environmental, social, governance, and financial performance

2020

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“…For instance, Van Duuren et al (2016) find that ESG is used to red-flag and manage risk. Oliveira et al (2020) show that sustainability indices serve as valuable hedging tools to asset managers in particular contexts. Eccles and Stroehle (2018) indicate that demand and supply for information about companies' sustainability performance continue to grow.…”

Section: Beliefs and Practicesmentioning

confidence: 99%

Why don't asset managers accelerate ESG investing? A sentiment analysis based on 13,000 messages from finance professionals

Zeidan

2022

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Mitigating climate change effects requires investors (and their proxies, fund managers) to shift their business‐as‐usual strategies. This article analyzes Environmental, Social, and Governance (ESG) investing behavior through more than 13,000 messages exchanged by finance professionals from 2017 to 2020. There is a consensus that low and high ESG firms' discrimination is a necessary but not sufficient condition for ESG investing. Moreover, it is one thing for fund managers to claim that they are integrating ESG factors in their portfolios and another to do it properly. The restriction of the strategy space, internal and external transaction costs, and data quality are still viewed as overwhelming obstacles for seamlessly integrating ESG into financial portfolios. Sentiment analysis indicates that asset managers hold a negative view of ESG investing, surprising as ethical investing is becoming increasingly common. Unlocking the potential positive externalities from ESG investing may require regulators and investors' actions to improve the quality of information disclosure and pressure fund managers into incorporating nonfinancial criteria in their investment models.

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“…Then, it rewards the best scoring firms by overweighting their composition within the portfolio. Recent literature suggest that the screening of assets based on negative or positive parameters ranks among the most used strategies for passive sustainable investing (Cunha et al, 2021; De Oliveira et al, 2020).…”

Section: Esg Investing Sustainability Indices and Literature Gapsmentioning

confidence: 99%

The added value and differentiation among ESG investment strategies in stock markets

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Environmental, social, and governance (ESG) investment strategies have garnered increasing attention in stock markets worldwide. The number of related funds and their money inflow, for instance, have more than doubled over the past 3 years. Yet, one fundamental question remains unanswered in the specialized literature: has there been any added value and statistical differentiation among ESG strategies in stock markets? We contribute to this discussion by assessing a range of ESG investment strategies across the globe. Daily closing prices of ESG best practices indices are collected for the period between 2011 and 2021, along with proxies for the market portfolio and the risk-free rate. Empirical assessments are then conducted using classic and modern portfolio metrics as well as nonparametric tests. The results indicate a considerable degree of differentiation of the governance factor in every region studied, while the environmental and social agendas have remained considerably intertwined, with their theoretical portfolios showing similar risk-return profiles and high levels of correlation. The relative performance of ESG factors across regions has also varied considerably, with most developed economies prioritizing the environmental and social agenda for investments, and the governance factor providing better risk-adjusted returns in emerging markets and in the Unites States. Implications and an agenda for future research are further discussed.

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On the effects of uncertainty measures on sustainability indices: An empirical investigation in a nonlinear framework

Cited by 25 publications

References 60 publications

Testing the institutional difference hypothesis: A study about environmental, social, governance, and financial performance

Testing the institutional difference hypothesis: A study about environmental, social, governance, and financial performance

Why don't asset managers accelerate ESG investing? A sentiment analysis based on 13,000 messages from finance professionals

The added value and differentiation among ESG investment strategies in stock markets

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