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Smart beta ESG disclosure

Author

Listed:
  • Besbes Yasmine

    (Université du Québec à Montréal)

  • Maher Kooli

    (Université du Québec à Montréal)

Abstract

This research aims to examine several approaches, most commonly used by portfolio managers, to construct smart beta indices integrating environmental, social, and governance (ESG) factors and evaluate their performance in the Canadian context for the 2014–2109 period. We show that fundamental indexation works in Canada and that taking ESG factors into account does not harm smart beta portfolios performances compared to the capitalization-weighted portfolio. Our results are robust to several performance measures, to market conditions (bull vs. bear), and to different interest rate regimes.

Suggested Citation

  • Besbes Yasmine & Maher Kooli, 2022. "Smart beta ESG disclosure," Journal of Asset Management, Palgrave Macmillan, vol. 23(7), pages 567-580, December.
    • Handle: RePEc:pal:assmgt:v:23:y:2022:i:7:d:10.1057_s41260-022-00257-1
    DOI: 10.1057/s41260-022-00257-1
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    Cited by:

    1. Ian Berk & Massimo Guidolin & Monia Magnani, 2023. "Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital," BAFFI CAREFIN Working Papers 23202, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    2. Ved Dilip Beloskar & Arunima Haldar & S. V. D. Nageswara Rao, 2023. "Socially responsible investments: A retrospective review and future research agenda," Business Strategy and the Environment, Wiley Blackwell, vol. 32(7), pages 4841-4860, November.

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