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

Hübel, Benjamin; Scholz, Hendrik

doi:10.1057/s41260-019-00139-z

Cited by 119 publications

(54 citation statements)

References 42 publications

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“…Like the ESG scores, Morningstar's rating uses a 0-100 scale, where lower scores are superior. ESG risk is divided by five risk levels: negligible (0-10), low (10)(11)(12)(13)(14)(15)(16)(17)(18)(19)(20), medium (20)(21)(22)(23)(24)(25)(26)(27)(28)(29)(30), high (30)(31)(32)(33)(34)(35)(36)(37)(38)(39)(40), and severe (40-100) [19].…”

Section: Variablesmentioning

confidence: 99%

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Environmental, Social, Governance Risk and Corporate Sustainable Growth Nexus: Quantile Regression Approach

Teng

Wang

et al. 2021

IJERPH

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Despite a huge body of literature revealing that the effect of environmental, social and governance (ESG) scores on a firms' financial performance and value, it lacks the empirical research on the nexus between corporate sustainable growth and ESG risk in the existing research. The paper aims to examine the nexus between ESG risk and corporate sustainable growth. This study utilizes a quantile regression approach to explore how ESG risk affects corporate sustainable growth (proxied by sustainable growth rate, SGR). The ordinary least squares estimation results confirm that ESG significantly negatively affects corporate sustainable growth. The quantile regression results reveal ESG risk has a significant negative effect on corporate sustainable growth in the upper quantiles of SGR, but not in the lower and median quantiles. The results show that the impact of ESG risk on the corporate sustainable growth is asymmetric and affected by the distribution of SGR. Furthermore, the research results identify that the negative relationship between ESG risk and corporate sustainable growth is particularly apparent for firms in environmentally sensitive industries. This study greatly contributes to existing literature, as with this detailed knowledge, managers can make decisions based on these associations and identify the most lucrative course of action.

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Section: Variablesmentioning

confidence: 99%

“…Furthermore, facing the global sustainable development agenda, climate change mitigation and a shift toward to low-carbon economies [15], increasingly many companies require effective risk management. Companies should not only focus on traditional financial risks but also consider the environment, social and governance (ESG) risks [16,17].…”

Section: Introductionmentioning

confidence: 99%

Environmental, Social, Governance Risk and Corporate Sustainable Growth Nexus: Quantile Regression Approach

Teng

Wang

et al. 2021

IJERPH

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“…In line with this growing interest, more recently, a branch of academic literature has been focusing on the challenges of assessing sustainability risks given their unpredictability, the methodological issues related to their measurement, and the lack of reliable information (Boiral et al, 2020). As more and more investors rely on ESG ratings from third-party providers, authors have analyzed the lack of homogeneity of their measurements (Saadaoui & Soobaroyen, 2018), the sources of these disagreements (Berg et al, 2019), the effects of these disagreements on stock returns (Gibson, Krueger, Riand, & Schmidt, 2020), the differences between measuring performance and risks (Semenova & Hassel, 2015) and how to overcome the shortcomings of ESG ratings with alternative measurements of exposure (Henriksson et al, 2019;Hübel & Scholz, 2020). From another perspective, some authors have shown that a portfolio's sustainability quality can be improved using ESG scores without hampering performance or diversification (Alessandrini & Jondeau, 2020).…”

Section: Sustainability Risks and Si Fundsmentioning

confidence: 99%

“…The opportunities and risks of this scenario require the comprehensive measurement of both financial and sustainability risks in investment portfolios. Financial risks are already integrated into investment processes, but effective risk management should also consider environmental, social, and governance (ESG) risks (Ashwin Kumar et al, 2016;Hübel & Scholz, 2020).…”

Section: Introductionmentioning

confidence: 99%

Sustainable development and financial system: IntegratingESGrisks through sustainable investment strategies in a climate change context

Folque

Escrig-Olmedo

Santamaría

2021

Sustainable Development

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Sustainable Investment funds are one of the most appropriate ways for the financial system to contribute to sustainable development. However, the effective contribution of Sustainable Investment funds can vary widely depending on their management strategy. This paper aims to analyze which strategies or combinations of them allow practitioners to better manage ESG risks in ESG portfolios within a complete framework consistent with global challenges that focus on sustainability and carbon risk scores. To analyze the differences between Sustainable Investment strategies, we adopt a parametric analysis of variance method. We find that, on average, funds that only apply negative filters achieve worse ESG risk scores and show worse carbon risk. In sum, this study contributes with more in-depth knowledge about the different outcomes in terms of sustainability risks of the different SI strategies.

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“…In their research, Zhang et al (2020) concluded that the disclosure of environmental and social information can have a positive impact on the company's capitalization. Some modern researchers emphasize the special importance of environmental, social, and managerial factors in assessing the risks of a company's sustainable development (Hübel & Scholz, 2020, Leins, 2020, Ziolo, Filipiak, Bak & Cheba, 2019. At the same time, the scholars note that the high quality of non-financial information disclosure affects the transparency of companies' activities and contributes to the expansion of their financial and investment opportunities (Hamrouni, Boussaada & Ben Farhat Toumi, 2019, Hoang, 2018, Rezaee & Tuo, 2017, Kulikova, Nesterov, Vakhotina & Yakhin 2015, Nagumanova, Sabirova & Titova 2019.…”

Section: Introductionmentioning

confidence: 99%

Analysis of Impact of Non-financial Information Disclosure on Capitalization of Russian Oil and Gas Sector Companies

Vetoshkina¹,

Ivanovskaya²,

Kazykhanova³

et al. 2020

IJFR

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Today, the problems and ways of improving the companies' corporate reporting and confirming their importance are among the most discussed topics in the academic world, both in Russia and globally. The existence of a wide range of research papers, as well as tools for evaluating non-financial information of companies, indicates the significant role of non-financial factors for the global society. However, it is still questioned whether these factors affect the market value of companies. According to the RSPP, the disclosure of non-financial information in the companies' annual reports allows users to identify leaders, helps to strengthen the reputation and investment attractiveness of these companies, and serves to promote the culture of responsible business conduct. In this work, the influence of non-financial factors on the market capitalization of companies in the oil and gas sector was studied using the model of correlation of factors with the calculation of the Pearson and Spearman coefficients. The data about the market capitalization of the three largest Russian companies in this sector, Gazprom, Gazprom Neft, and LUKOIL, were taken from publicly available sources. To find a correlation between the calculated indices and the market capitalization indicator, it was assumed that the company's market capitalization of the current year would be influenced by the indices of non-financial factors calculated according to the data of the previous year. It has been proved that there exists a certain connection between non-financial factors (index of ecological effectiveness; index of economic development; index of social influence) and the company's market value. However, the results of the analysis showed that political factors determine the capitalization of oil and gas companies in Russia to a greater extent at the present stage.

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

Cited by 119 publications

References 42 publications

Environmental, Social, Governance Risk and Corporate Sustainable Growth Nexus: Quantile Regression Approach

Environmental, Social, Governance Risk and Corporate Sustainable Growth Nexus: Quantile Regression Approach

Sustainable development and financial system: IntegratingESGrisks through sustainable investment strategies in a climate change context

Analysis of Impact of Non-financial Information Disclosure on Capitalization of Russian Oil and Gas Sector Companies

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