IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-04325654.html
   My bibliography  Save this paper

International market exposure to sovereign ESG

Author

Listed:
  • Christian Morgenstern

    (Imperial College London)

  • Guillaume Coqueret

    (EM - EMLyon Business School)

  • James Kelly

Abstract

"We quantify equity and bond market sensitivity to sovereign ESG scores and their variations which, theoretically, is equivalent to evaluating the demand for ESG at the global scale. We do so by estimating a longitudinal model, at the issue level, that captures exposures to sovereign ESG factors for both equity and fixed income indices. In spite of the surging interest in ESG investing, our results do not support a strong impact of ESG factors on the returns of international markets, implying that the demand for ESG at the country level is not a significant driver of prices. Nevertheless, we document a strong association between GDP growth and ESG scores at the country level."

Suggested Citation

  • Christian Morgenstern & Guillaume Coqueret & James Kelly, 2022. "International market exposure to sovereign ESG," Post-Print hal-04325654, HAL.
    • Handle: RePEc:hal:journl:hal-04325654
    DOI: 10.1080/20430795.2022.2148817
    Note: View the original document on HAL open archive server: https://hal.science/hal-04325654
    as

    Download full text from publisher

    File URL: https://hal.science/hal-04325654/document
    Download Restriction: no
    File URL: https://libkey.io/10.1080/20430795.2022.2148817?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
    ---><---

    References listed on IDEAS

    as
    1. Maretno Harjoto & Hoje Jo & Yongtae Kim, 2017. "Is Institutional Ownership Related to Corporate Social Responsibility? The Nonlinear Relation and Its Implication for Stock Return Volatility," Journal of Business Ethics, Springer, vol. 146(1), pages 77-109, November.
    2. Ralph S. J. Koijen & Motohiro Yogo, 2019. "A Demand System Approach to Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 127(4), pages 1475-1515.
    3. Denitsa Angelova & Francesco Bosello & Andrea Bigano & Silvio Giove, 2021. "Sovereign rating methodologies, ESG and climate change risk: an overview," Working Papers 2021:15, Department of Economics, University of Venice "Ca' Foscari".
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. Costantiello, Alberto & Leogrande, Angelo, 2023. "The Role Of Gdp Growth In The Esg Approach At World Level," SocArXiv r56hu, Center for Open Science.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jason Allen & Milena Wittwer, 2023. "Centralizing Over-the-Counter Markets?," Journal of Political Economy, University of Chicago Press, vol. 131(12), pages 3310-3351.
    2. Damien Capelle & Bruno Pellegrino, 2023. "Unbalanced Financial Globalization," CESifo Working Paper Series 10642, CESifo.
    3. Koijen, Ralph S.J. & Koulischer, François & Nguyen, Benoît & Yogo, Motohiro, 2021. "Inspecting the mechanism of quantitative easing in the euro area," Journal of Financial Economics, Elsevier, vol. 140(1), pages 1-20.
    4. Stephan Heblich & Stephen J. Redding & Hans-Joachim Voth, 2022. "Slavery and the British Industrial Revolution," CEP Discussion Papers dp1884, Centre for Economic Performance, LSE.
    5. Bo Becker & Marcus M Opp & Farzad Saidi, 2022. "Regulatory Forbearance in the U.S. Insurance Industry: The Effects of Removing Capital Requirements for an Asset Class," The Review of Financial Studies, Society for Financial Studies, vol. 35(12), pages 5438-5482.
    6. Jonas Heipertz & Amine Ouazad & Romain Rancière, 2019. "The Transmission of Shocks in Endogenous Financial Networks: A Structural Approach," NBER Working Papers 26049, National Bureau of Economic Research, Inc.
    7. Bryan T. Kelly & Asaf Manela & Alan Moreira, 2019. "Text Selection," NBER Working Papers 26517, National Bureau of Economic Research, Inc.
    8. Cassola, Nuno & Koulischer, François, 2019. "The collateral channel of open market operations," Journal of Financial Stability, Elsevier, vol. 41(C), pages 73-90.
    9. Becker, Bo & Opp, Marcus & Saidi, Farzad, 2020. "Regulatory Forbearance in the U.S. Insurance Industry: The Effects of Eliminating Capital Requirements," CEPR Discussion Papers 14373, C.E.P.R. Discussion Papers.
    10. Pavanini, Nicola & Ioannidou, Vasso & Peng, Yushi, 2019. "Collateral and Asymmetric Information in Lending Markets," CEPR Discussion Papers 13905, C.E.P.R. Discussion Papers.
    11. Barbu, Alexandru & Fricke, Christoph & Mönch, Emanuel, 2020. "Procyclical asset management and bond risk premia," Discussion Papers 38/2020, Deutsche Bundesbank.
    12. Ramzi Benkraiem & Sabri Boubaker & Asif Saeed, 2022. "How does corporate social responsibility engagement affect the information content of stock prices?," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(5), pages 1266-1289, July.
    13. Aleksandar Andonov & Joshua D Rauh, 2022. "The Return Expectations of Public Pension Funds," The Review of Financial Studies, Society for Financial Studies, vol. 35(8), pages 3777-3822.
    14. Pástor, Ľuboš & Stambaugh, Robert F. & Taylor, Lucian A., 2022. "Dissecting green returns," Journal of Financial Economics, Elsevier, vol. 146(2), pages 403-424.
    15. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2020. "Investor Sophistication and Portfolio Dynamics," CEPR Discussion Papers 15116, C.E.P.R. Discussion Papers.
    16. Coqueret, Guillaume & Tavin, Bertrand, 2019. "Procedural rationality, asset heterogeneity and market selection," Journal of Mathematical Economics, Elsevier, vol. 82(C), pages 125-149.
    17. Bacchetta, Philippe & Davenport, Margaret & van Wincoop, Eric, 2022. "Can sticky portfolios explain international capital flows and asset prices?," Journal of International Economics, Elsevier, vol. 136(C).
    18. Benny Kleinman & Ernest Liu & Stephen J. Redding & Motohiro Yogo, 2023. "Neoclassical growth in an interdependent world," CEP Discussion Papers dp1965, Centre for Economic Performance, LSE.
    19. Guillaume Coqueret & Tony Guida, 2020. "Training trees on tails with applications to portfolio choice," Post-Print hal-04144665, HAL.
    20. Mücke, Christian, 2023. "Bank dividend restrictions and banks' institutional investors," SAFE Working Paper Series 392, Leibniz Institute for Financial Research SAFE.

    More about this item

    Keywords

    Factor demand; longitudinal models; sovereign ESG; sustainable investing;
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:hal:journl:hal-04325654. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    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.