IDEAS home Printed from https://ideas.repec.org/a/taf/jsustf/v13y2023i2p827-867.html
   My bibliography  Save this article

ESG: a new dimension in portfolio allocation

Author

Listed:
  • Jan De Spiegeleer
  • Stephan Höcht
  • Daniel Jakubowski
  • Sofie Reyners
  • Wim Schoutens

Abstract

In this paper, we examine the impact of including environmental, social and governance (ESG) criteria in the allocation of equity portfolios. We focus on the risk and return characteristics of the resulting ESG portfolios and investment strategies. Two specific measures are considered to quantify the ESG performance of a company; the ESG rating and the greenhouse gas (GHG) emission intensity. For both measures, we carry out empirical portfolio analyses with assets in either the STOXX Europe 600 or the Russell 1000 index. The ESG rating data analysis does not provide clear-cut evidence for enhanced performance of portfolios with either high or low ESG scores. We moreover illustrate that the choice of rating agency has an impact on the performance of ESG-constrained portfolios. The analysis on GHG intensities shows that portfolios with reduced emissions do not necessarily have increased risk or diminished returns.

Suggested Citation

  • Jan De Spiegeleer & Stephan Höcht & Daniel Jakubowski & Sofie Reyners & Wim Schoutens, 2023. "ESG: a new dimension in portfolio allocation," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 13(2), pages 827-867, April.
    • Handle: RePEc:taf:jsustf:v:13:y:2023:i:2:p:827-867
    DOI: 10.1080/20430795.2021.1923336
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/20430795.2021.1923336
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/20430795.2021.1923336?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sun, Xuting & Kuo, Yong-Hong & Xue, Weili & Li, Yanzhi, 2024. "Technology-driven logistics and supply chain management for societal impacts," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 185(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jsustf:v:13:y:2023:i:2:p:827-867. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/TSFI20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.