ESG criteria and the credit risk of corporate bond portfolios

IF 1.5 Q3 BUSINESS, FINANCE

Journal of Asset Management Pub Date : 2023-10-25 DOI:10.1057/s41260-023-00337-w

Andre Höck, Tobias Bauckloh, Maurice Dumrose, Christian Klein

{"title":"ESG criteria and the credit risk of corporate bond portfolios","authors":"Andre Höck, Tobias Bauckloh, Maurice Dumrose, Christian Klein","doi":"10.1057/s41260-023-00337-w","DOIUrl":null,"url":null,"abstract":"Abstract Demand for sustainable fixed-income investment solutions is surging but there is hardly research on the impact of sustainability on the risk characteristics of fixed-income portfolios. This study examines the impact of sustainability on the credit risk exposure of corporate bond portfolios between 2013 and 2020 by analyzing the returns of sustainable and non-sustainable portfolios using two different asset pricing models and environmental, social, and governance (ESG) ratings from different providers. Controlling for a set of portfolio characteristics, our results show that sustainable portfolios are significantly less exposed to credit risk than their non-sustainable peer portfolios. This finding implies that considering ESG criteria in portfolio management is a suitable means to systematically manage credit risk. Being the first study to investigate the relationship between sustainability and credit risk on a portfolio level, this study contributes to the understanding of the effects of ESG criteria in portfolio management and provides academics and investment professionals with valuable insights.","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"494 1","pages":"0"},"PeriodicalIF":1.5000,"publicationDate":"2023-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Asset Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1057/s41260-023-00337-w","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

Abstract

Abstract Demand for sustainable fixed-income investment solutions is surging but there is hardly research on the impact of sustainability on the risk characteristics of fixed-income portfolios. This study examines the impact of sustainability on the credit risk exposure of corporate bond portfolios between 2013 and 2020 by analyzing the returns of sustainable and non-sustainable portfolios using two different asset pricing models and environmental, social, and governance (ESG) ratings from different providers. Controlling for a set of portfolio characteristics, our results show that sustainable portfolios are significantly less exposed to credit risk than their non-sustainable peer portfolios. This finding implies that considering ESG criteria in portfolio management is a suitable means to systematically manage credit risk. Being the first study to investigate the relationship between sustainability and credit risk on a portfolio level, this study contributes to the understanding of the effects of ESG criteria in portfolio management and provides academics and investment professionals with valuable insights.

查看原文本刊更多论文

ESG标准与公司债券投资组合的信用风险

对可持续固定收益投资方案的需求激增，但关于可持续性对固定收益投资组合风险特征影响的研究却很少。本研究采用两种不同的资产定价模型和来自不同供应商的环境、社会和治理(ESG)评级，通过分析可持续和非可持续投资组合的回报，考察了2013年至2020年间可持续性对公司债券投资组合信用风险敞口的影响。控制了一组投资组合的特征，我们的结果表明，可持续投资组合的信用风险明显低于其不可持续的同行投资组合。这一发现表明，在投资组合管理中考虑ESG标准是系统管理信用风险的合适手段。作为首个在投资组合层面上研究可持续性与信用风险之间关系的研究，本研究有助于理解ESG标准在投资组合管理中的影响，并为学者和投资专业人士提供宝贵的见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Asset Management BUSINESS, FINANCE-

CiteScore

4.10

自引率

0.00%

发文量

期刊介绍： The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics