ESG index performance: European evidence

IF 1.5 Q3 BUSINESS, FINANCE
Hager Kossentini, Olfa Belhassine, Amel Zenaidi
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Abstract

ESG investing and its financial performance is nowadays a hot topic luring the attention of all economic agents. All developed financial markets offer sustainable indices to meet the ethical needs of investors. However, this is not the case for a large share of emerging financial markets. This study aims to analyze the financial performance of several MSCI European ESG indices and compare it to their respective conventional benchmarks. We investigate financial performance through time and also over different market conditions using both static and dynamic financial performance measures. The static analysis shows that the sustainable indices are as performant as the conventional index, in most cases. The Emerging Market (EM) Europe ESG Leaders index is less risky than the benchmark. However, the dynamic financial performance analysis reveals that CAPM alpha and beta are time-varying. The rolling window annual analysis shows that the EM Europe ESG Leaders index offers an interesting investment option since it beats the benchmark, less risky and offers the highest performance. Finally, the Markov-Switching analysis indicates that alphas and betas mainly depend on stock market conditions. Indeed, in high volatility market, risk-averse investors would be interested in investing in the ESG index since it reduces market risk. Moreover, when the market is more stable, the sustainable EM Europe ESG Leaders index offers better performance.

Abstract Image

ESG 指数表现:欧洲证据
如今,环境、社会和治理投资及其财务业绩已成为一个热门话题,吸引着所有经济主体的关注。所有发达金融市场都提供可持续指数,以满足投资者的道德需求。然而,大部分新兴金融市场的情况并非如此。本研究旨在分析几个 MSCI 欧洲 ESG 指数的财务表现,并将其与各自的传统基准进行比较。我们采用静态和动态的财务绩效衡量方法,对不同时期和不同市场条件下的财务绩效进行了研究。静态分析表明,在大多数情况下,可持续指数的表现与传统指数不相上下。新兴市场(EM)欧洲环境、社会和治理领导者指数的风险低于基准指数。然而,动态财务绩效分析表明,CAPM alpha 和 beta 是随时间变化的。滚动窗口年度分析表明,欧洲新兴市场环境、社会和治理领导者指数是一种有趣的投资选择,因为它击败了基准指数,风险较低,业绩最高。最后,马尔科夫转换分析表明,阿尔法和贝塔主要取决于股票市场条件。事实上,在高波动性市场中,规避风险的投资者会对投资 ESG 指数感兴趣,因为它能降低市场风险。此外,当市场较为稳定时,可持续的欧洲新兴市场环境、社会和治理领导者指数会有更好的表现。
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来源期刊
Journal of Asset Management
Journal of Asset Management BUSINESS, FINANCE-
CiteScore
4.10
自引率
0.00%
发文量
44
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
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