Journal
JOURNAL OF ASSET MANAGEMENT
Volume 21, Issue 1, Pages 32-51Publisher
PALGRAVE MACMILLAN LTD
DOI: 10.1057/s41260-019-00148-y
Keywords
Value; Growth; Momentum; Morningstar Style Box; Sustainable performance; ESG integration; ESG materiality; Risk mitigation hypothesis
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This study provides finer-grained results on the financial effectiveness of ESG integration for mainstream active investment styles. We account for firm size, industry and country effects within ESG scores and introduce the concept of ESG risk materiality. Empirical evidence shows that US and European investors can raise their portfolio's ESG level and increase risk-adjusted performance at the same time. Therefore, we add to the growing demand for sustainable products in the traditional investment industry and overcome the notion of ESG integration being a burden to traditional investment strategies.
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