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Risk Mitigating Effect of ESG on Momentum Portfolios

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Reference

Kaiser, L., & Welters, J. (2019). Risk Mitigating Effect of ESG on Momentum Portfolios. Journal of Risk Finance, 20(5), 542-555. (ABDC_2016: C; ABDC_2019: B; ABS_2018: 1; VHB_3: B)

Publication type

Article in Scientific Journal

Abstract

Existing empirical evidence on the impact of ESG integration on momentum portfolios is limited. In this paper, we provide insight on the impact of an ESG constrained investment universe on momentum returns. We document the existence of a momentum premium across European stocks and for a subset of high and lows ESG rated stocks. However, absolute returns of momentum strategies are significantly lower if momentum strategies are pursued on a subset of high ESG stocks. Additionally, findings document a risk-mitigation effect of ESG for momentum portfolios with significantly lower returns for momentum portfolios based on low ESG stocks during periods of momentum crashes.

Persons

Organizational Units

  • Chair in Business Administration, Banking and Financial Management
  • Institute for Finance

Original Source URL

Link

Open Repository URL

Link

DOI

http://dx.doi.org/10.1108/JRF-05-2019-0075