ESG risk exposure: a tale of two tails

DOI10.1080/14697688.2024.2349016MaRDI QIDQ6592286zbMATH OpenFDO

Authors Massimiliano Caporin, Juan-Angel Jimenez-Martin

Publication date 26 August 2024

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2024.2349016

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistical methods; risk measures (91G70)

Review text

The authors study the environmental, social and governance (ESG) investments impact to the downside risk of companies in the US market by introducing a novel measure, the ESG risk contribution (CoESGRisk).\N\NCoESGRisk is a measurement based on the co-movement between the ESG risk factor and the downside risk. When there is a sudden increase in the ESG risk factor, the downside risk of high-ESG companies is reduced. However, under extreme conditions, the downside risk of high-ESG companies could also be increased, due to the increased company volatility. The ESG impact is positively correlated with the ESG performance and size, and it varies among sectors.

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Cites work

• Economic tracking portfolios

Cited in

(1)

• Optimal portfolio choice with ESG considerations and asymmetric information

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