Our research uses the environmental pillar of ESG as a proxy for environmental corporate social responsibility. We examine the performance of environmentally clustered portfolios by using simple quantitative investment strategies with optimum asset rotation. Post-hoc, sample-split analysis with non-parametric tests is performed. The results suggest that both environmental status and dynamic environmental performance are key characteristics of divergent financial behaviors. We show that environmentally low-rated companies present better financial performance, while environmental leaders are less risky and show more resilience. Assets with a dynamic environmental profile outperform on average in terms of returns and risk. Furthermore, supporting evidence of positive spillovers in high-rated environmental clusters is identified after the Paris Agreement. We evaluate the resilience of the environmental clusters during the COVID-19 crisis and the Russia-Ukraine war effect
The environmental pillar of ESG and financial performance: A portfolio analysis / Elettra Agliardi; Thomas Alexopoulos; Kleanthis Karvelas. - In: ENERGY ECONOMICS. - ISSN 0140-9883. - STAMPA. - 120:(2023), pp. 106598.1-106598.16. [10.1016/j.eneco.2023.106598]
The environmental pillar of ESG and financial performance: A portfolio analysis
Elettra Agliardi
;
2023
Abstract
Our research uses the environmental pillar of ESG as a proxy for environmental corporate social responsibility. We examine the performance of environmentally clustered portfolios by using simple quantitative investment strategies with optimum asset rotation. Post-hoc, sample-split analysis with non-parametric tests is performed. The results suggest that both environmental status and dynamic environmental performance are key characteristics of divergent financial behaviors. We show that environmentally low-rated companies present better financial performance, while environmental leaders are less risky and show more resilience. Assets with a dynamic environmental profile outperform on average in terms of returns and risk. Furthermore, supporting evidence of positive spillovers in high-rated environmental clusters is identified after the Paris Agreement. We evaluate the resilience of the environmental clusters during the COVID-19 crisis and the Russia-Ukraine war effectFile | Dimensione | Formato | |
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The_Environmental_Pillar.pdf
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