Analysis of systematic risk of global ETFs with maximum ESG rating

Evlakhova, Yuliya S.

doi:10.34020/1993-4386--2022-2-18-23

jour

2022

DOI: 10.34020/1993-4386--2022-2-18-23

|View full text |Cite

Analysis of systematic risk of global ETFs with maximum ESG rating

Yuliya S. Evlakhova

Abstract: The article is discussed to the analysis of ESG rating factors, profitability and risk in relation to global ETFs. The hypothesis under study is that global ETFs with a maximum ESG rating are heterogeneous in terms of systematic risk level. Based on the FOREL clustering algorithm, two ETF clusters are identified. Thus, an investor, having a priority maximum ESG rating and a certain level of β-coefficient, can select any object from the cluster, since all ETFs in the cluster are similar in level of systematic r… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2023

2024

Publication Types

Select...

Article2

Relationship

Self Cite0

Independent2

Authors

Journals

Cited by 2 publications

References 11 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

A Note on the yield spread of Russian green bonds

Belomyttseva,

Andrienko,

Andrienko

et al. 2024

E3S Web Conf.

View full text Add to dashboard Cite

The global market for ESG financial instruments is actively developing. In Russia, this segment is narrow but has significant prospects for growth. Green bonds serve as a classic ESG financial instrument. There is a hypothesis in literature that investors should be aware of sustainable development goals and accept lower yields when investing in green bonds. The authors tested this hypothesis using Sustainable Development Sector bonds on the Moscow Exchange. Bonds of six issuers that had both green and classic bonds were selected as instruments for the study. The research methods employed included statistical observation, measurement, and comparison. The following results were obtained: (1) the hypothesis was not confirmed, possibly due to the limited sample size and the status of the Russian financial market as an emerging one; (2) it is advisable to introduce tax incentives for individual and institutional investors regarding coupon income and discount of green bonds to actively develop the green bond market; (3) it is necessary to evaluate the effectiveness of tax support for issuers and investors from the government's perspective. The authors also identified challenges in the development of the green bond market and proposed future research directions, including analyzing yield spreads of green bonds on Chinese exchanges, studying green stocks, and mutual fund units.

show abstract

A Note on the yield spread of Russian green bonds

Belomyttseva,

Andrienko,

Andrienko

et al. 2024

E3S Web Conf.

View full text Add to dashboard Cite

show abstract

Approaches to making investment decisions based on ESG factors

Chernyshova,

Shogenova

2023

jour

View full text Add to dashboard Cite

One of the manifestations of globalization and mass integration processes is the emergence of the responsibility of every citizen for minimizing the spread of global problems. To date, the focus of the world community's attention is aimed at solving environmental problems in connection with the expansion of their influence zones in a geometric progression, which threatens the sustainability of economic development. The ESG agenda affects business: more and more companies are required to focus on environmental, social and governance factors when addressing strategic goals and objectives. The ESG agenda encourages companies to focus on environmental, social and managerial factors when solving strategic goals and objectives. In this article, approaches to ESG investing are considered as investment strategies based on the analysis of the dynamics of the priority of ESG components. Using the example of the Russian market, ESG ratings of companies are considered and analyzed separately by factors and in an aggregated format. Assumptions are made on the directions of development of ESG investments in the context of economic sectors and the main trends in the sustainable investment market are formulated.

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Analysis of systematic risk of global ETFs with maximum ESG rating

Cited by 2 publications

References 11 publications

A Note on the yield spread of Russian green bonds

A Note on the yield spread of Russian green bonds

Approaches to making investment decisions based on ESG factors

Contact Info

Product

Resources

About