Is there any effect of ESG scores on portfolio performance? Evidence from Europe and Turkey

Zehir, Emre; Aybars, Aslı

doi:10.1108/jcms-09-2020-0034

Cited by 29 publications

(15 citation statements)

References 23 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The formation of a portfolio can be done from several basic calculation bases, such as research conducted by Zehir and Aybars (2020) which shows that the ESG portfolio can be used as the basis for calculating the portfolio selection for long-term investments. Source: data processed According to Dayanandan and Lam (2015), there are differences in portfolio rebalancing strategies in US data.…”

Section: Resultsmentioning

confidence: 99%

A stock portfolio strategy in the midst of the COVID-19: Case of Indonesia

Kristanti

Salim

Indrasari

et al. 2022

JEECAR

View full text Add to dashboard Cite

Stock price movements are interesting to discuss, because from these price movements investors will get capital gains. Problems arose, however, when Covid-19 hit the world, especially in Indonesia. The purpose of this study, then, is to determine whether there is a relationship and difference in return and risk between Economic Value Added (EVA) and Market Value added (MVA) portfolios in the Indonesian stock market. The sample used is 24 stocks with daily stock return data for the 2015-2020 period. The results of the study found something new, namely that there was a relationship and difference between returns and risks in the EVA and MVA portfolios in Indonesia. In addition, the research succeeded in forming EVA and MVA portfolios that exceeded market returns in Indonesia. The best strategy that investors can apply in investing is to use an active strategy, especially during conditions, such as the Covid-19 pandemic, which have an impact on high market fluctuation.

show abstract

Section: Resultsmentioning

confidence: 99%

A stock portfolio strategy in the midst of the COVID-19: Case of Indonesia

Kristanti

Salim

Indrasari

et al. 2022

JEECAR

View full text Add to dashboard Cite

show abstract

“…To compare the companies' ESG performance, we ranked their ESG scores by year and by country to arrive at three portfolios, namely: (i) Top ESG , the 10% of companies with the highest scores, (ii) Bottom ESG , the 10% of companies with the lowest scores, and (iii) No ESG , companies that did not report ESG information in the period. We assigned an equal share to each company, following Amon et al (2021) and Zehir and Aybars (2020). We repeated this process for each year from 2011 to 2019 to recompose the portfolios.…”

Section: Methodsmentioning

confidence: 99%

“…(iii) No ESG, companies that did not report ESG information in the period. We assigned an equal share to each company, following Amon et al ( 2021) and Zehir and Aybars (2020). We repeated this process for each year from 2011 to 2019 to recompose the portfolios.…”

Section: Responsible Investment Portfolios and Psychic Dividendsmentioning

confidence: 99%

Socially responsible portfolios,environmental, social, corporate governance (ESG)efficient frontiers, and psychic dividends

Useche,

Martínez‐Ferrero,

Alayón‐Gonzales

2023

Corp Soc Responsibility Env

View full text Add to dashboard Cite

The aim of this article is to evaluate the performance of investment portfolios built under environmental, social, and corporate governance (ESG) criteria or socially responsible portfolios, based on companies listed on three representative stock exchanges in Latin America (Chile, Colombia, and Peru) for the period 2011–2019. The performance of portfolios comprising high‐ESG stocks was compared with that of low‐ESG performance portfolios and with portfolios of companies that did not report such information, as well as against the main index of each market. A novel utility function was defined that allows evaluating different degrees of propensity to responsible investment, based on which restricted optimization processes were conducted to build efficient frontiers that combine traditional mean–variance aspects with ESG elements. Based on these frontiers, a measure of the psychic dividend or ESG utility premium generated by investing in high‐ESG portfolios is proposed. Results obtained in risk and return rates and Jensen, Treynor, alpha, VaR, tracking error, information coefficient, efficient frontiers, and utility premium show the value of following responsible investment criteria and the clear disadvantages in investing in companies that do not report ESG information. This research contributes to the debate on the importance of socially responsible investment guided by ESG criteria, filling a gap in the literature regarding Latin America and confirming the better performance by calculating a wide range of portfolio evaluation indicators. We proposed a novel approach to optimization with sustainability constraints, incorporating the utility premium derived from investing in stocks with better ESG performance.

show abstract

“…Zehir and Aybars (2020) conducted their study in Europe and Turkey and found no association between SRI and portfolio performance. The CAPM analysis demonstrated that ESG-based portfolios are behind the market index.…”

Section: Literature Review and Hypothesesmentioning

confidence: 97%

Did ESG portfolio augment investors’ wealth during Covid19? Evidence from Indian stock market

Sood

Arijit²,

Pathak³

et al. 2022

SAMPJ

View full text Add to dashboard Cite

Purpose This paper aims to empirically examine the performance of the high-ESG (environment, social and governance) portfolio vis-à-vis the low-ESG portfolio at the Indian stock market before and during the Covid19 pandemic. Design/methodology/approach The absolute rate of return and several risk-adjusted performance measures, for instance, Sharpe ratio, Modigliani–Modigliani measure, Treynor ratio, Jensen’s alpha, information ratio, Fama’s decomposition measure and Fama and French’s three-factor model, have been used in this study along with the t-test. Findings All three indices (CARBONEX, GREENEX and BSE 500) had better returns during Covid19 period as compared to the pre-Covid19 period. However, these returns were not statistically significant. During Covid19, the risk of the indices also rose, but they provided better returns for the additional risk taken. Finally, it is concluded that the performance of high-ESG and low-ESG stock portfolios did not differ significantly in both periods. Practical implications The study is relevant to individual and institutional investors, financial advisors, portfolio managers, corporations, policymakers, market regulators and society at large. Social implications This study emphasized the need to expand the role of ESG investment in India for the benefit of people, communities and society as a whole. Originality/value This research is the first of its kind, to the best of the authors’ knowledge, that compares the performance of a high-ESG portfolio with a low-ESG portfolio both before and during the Covid19, particularly in the Indian context.

show abstract

Is there any effect of ESG scores on portfolio performance? Evidence from Europe and Turkey

Cited by 29 publications

References 23 publications

A stock portfolio strategy in the midst of the COVID-19: Case of Indonesia

A stock portfolio strategy in the midst of the COVID-19: Case of Indonesia

Socially responsible portfolios,environmental, social, corporate governance (ESG)efficient frontiers, and psychic dividends

Did ESG portfolio augment investors’ wealth during Covid19? Evidence from Indian stock market

Contact Info

Product

Resources

About