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ESG Momentum in International equity returns and the SDG content of financial asset portfolios

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  • Koundouri, Phoebe
  • Landis, Conrad Felix Michel

Abstract

Our paper explores the presence of significant sources of priced risk related to ESG and SDG performance. we document, strong ESG momentum time series and cross-sectional effects in international stock returns during the years 2002 to 2023. An out of sample monthly rebalancing ESG momentum Factor mimicking portfolio (double sorted on market capitalization and ESG momentum) yields an annualized Sharpe ratio equal to 0.7 for the sample period. Moreover, we underline the importance that both ESG related performance, as well as ESG controversies are important determinants of financial performance. Last by not least, by transposing the ESG framework into a more holistic framework integrating the SDGs, we describe how our models can be used to trivially calculate the SDG footprint of financial portfolios, which is expected to be very relevant the years following the introduction of the CSRD.

Suggested Citation

  • Koundouri, Phoebe & Landis, Conrad Felix Michel, 2023. "ESG Momentum in International equity returns and the SDG content of financial asset portfolios," MPRA Paper 122005, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:122005
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    References listed on IDEAS

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    Cited by:

    1. Phoebe Koundouri & Angelos Alamanos & Jeffrey D Sachs, 2024. "Innovating for Sustainability: The Global Climate Hub," DEOS Working Papers 2403, Athens University of Economics and Business.

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    More about this item

    Keywords

    ESG; SDG; TRF metrics; CSRD;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General

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