Integrating sustainability risks in asset management: The role of ESG exposures and ESG ratings

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Details zur Publikation

Autorinnen und Autoren: Hübel B, Scholz H
Jahr der Veröffentlichung: 2019
Sprache: Englisch


Abstract

The rising sustainability awareness among regulators, consumers and
investors results in major sustainability risks for firms. We construct
three ESG risk factors (Environmental, Social, and Governance) to
quantify the ESG risk exposures of firms. Taking these factors into
account significantly enhances the explanatory power of standard asset
pricing models. We find that portfolios with pronounced ESG risk
exposures exhibit substantially higher risks, but investors can compose
portfolios with lower ESG risks while keeping risk-adjusted performance
virtually unchanged. Moreover, investors can measure the ESG risk
exposures of all firms in their portfolios using only stock returns, so
that even stocks without qualitative ESG information can be easily
considered in the management of ESG risks. Indeed, strategically
managing ESG risks may result in potential benefits for investors


FAU-Autorinnen und Autoren / FAU-Herausgeberinnen und Herausgeber

Hübel, Benjamin
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken
Scholz, Hendrik Prof. Dr.
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken


Zitierweisen

APA:
Hübel, B., & Scholz, H. (2019). Integrating sustainability risks in asset management: The role of ESG exposures and ESG ratings.

MLA:
Hübel, Benjamin, and Hendrik Scholz. Integrating sustainability risks in asset management: The role of ESG exposures and ESG ratings. 2019.

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Zuletzt aktualisiert 2019-27-03 um 16:23