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Risk Management of Companies Included in the EURO STOXX Sustainability Index. An Investors' Perception

Author

Listed:
  • Iulia Lupu

    (“Victor Slãvescu” Centre for Financial and Monetary Research, Bucharest, Romania)

  • Ana Barbara Bobirca

    (University of Economic Studies, Bucharest, Romania)

  • Paul Gabriel Miclaus

    (University of Economic Studies, Bucharest, Romania)

  • Tudor Ciumara

    (“Victor Slãvescu” Centre for Financial and Monetary Research, Bucharest, Romania)

Abstract

Inclusion in the European Sustainability Index is a feature of companies that are perceived as “sustainable” in general. The objective of the research in this article is to analyse the perception of investors by investigating the extent to which these companies have lower risks than their peers (from the same industry). Consolidated risk measurement methodologies such as value at risk and expected shortfall have been used to conduct this research. We separated companies in the STOXX Europe 600 in two classes: firms that belong to EURO STOXX sustainability index and companies that belong only to the STOXX 600 index. Dynamic daily risk measures have been estimated for all these companies for the last decade (4 January 2010 - 3 March 2020), using data extracted from Bloomberg Professional platform. We show that the sustainable companies exhibit lower risks in the second part or our sample and that this phenomenon is irregular across sectors, but tends to be consistent inside a sector.

Suggested Citation

  • Iulia Lupu & Ana Barbara Bobirca & Paul Gabriel Miclaus & Tudor Ciumara, 2020. "Risk Management of Companies Included in the EURO STOXX Sustainability Index. An Investors' Perception," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 22(55), pages 707-707, August.
    • Handle: RePEc:aes:amfeco:v:22:y:2020:i:55:p:707
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    References listed on IDEAS

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    More about this item

    Keywords

    companies’ sustainability; risk management; stock indices; value at risk (VaR); expected shortfall.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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