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Is the ESG portfolio less turbulent than a market benchmark portfolio?

Given that there is no consensus on the fact that ESG portfolios are characterized by very high returns and very low risks compared to conventional portfolios, this study aims to empirically verify whether the series of returns of an ESG portfolio is less volatile than the returns of a benchmark mar...

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Autor principal: Ouchen, Abdessamad
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Palgrave Macmillan UK 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8227378/
http://dx.doi.org/10.1057/s41283-021-00077-4
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author Ouchen, Abdessamad
author_facet Ouchen, Abdessamad
author_sort Ouchen, Abdessamad
collection PubMed
description Given that there is no consensus on the fact that ESG portfolios are characterized by very high returns and very low risks compared to conventional portfolios, this study aims to empirically verify whether the series of returns of an ESG portfolio is less volatile than the returns of a benchmark market portfolio. To verify this hypothesis, we used the Markov-switching GARCH models in order to model the process of the series of daily returns of the ESG portfolio “MSCI USA ESG Select,” as well as those of the market benchmark portfolio daily returns series “S&P 500,” during the period June 01, 2005 to December 31, 2020 as well as that excluding the COVID19 crisis and from June 1, 2005 to October 29, 2019. It can be concluded that the ESG portfolio “MSCI USA ESG Select” is relatively less turbulentcompared to the market benchmark portfolio “S&P 500.”
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spelling pubmed-82273782021-06-25 Is the ESG portfolio less turbulent than a market benchmark portfolio? Ouchen, Abdessamad Risk Manag Original Article Given that there is no consensus on the fact that ESG portfolios are characterized by very high returns and very low risks compared to conventional portfolios, this study aims to empirically verify whether the series of returns of an ESG portfolio is less volatile than the returns of a benchmark market portfolio. To verify this hypothesis, we used the Markov-switching GARCH models in order to model the process of the series of daily returns of the ESG portfolio “MSCI USA ESG Select,” as well as those of the market benchmark portfolio daily returns series “S&P 500,” during the period June 01, 2005 to December 31, 2020 as well as that excluding the COVID19 crisis and from June 1, 2005 to October 29, 2019. It can be concluded that the ESG portfolio “MSCI USA ESG Select” is relatively less turbulentcompared to the market benchmark portfolio “S&P 500.” Palgrave Macmillan UK 2021-06-25 2022 /pmc/articles/PMC8227378/ http://dx.doi.org/10.1057/s41283-021-00077-4 Text en © The Author(s), under exclusive licence to Springer Nature Limited 2021 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Original Article
Ouchen, Abdessamad
Is the ESG portfolio less turbulent than a market benchmark portfolio?
title Is the ESG portfolio less turbulent than a market benchmark portfolio?
title_full Is the ESG portfolio less turbulent than a market benchmark portfolio?
title_fullStr Is the ESG portfolio less turbulent than a market benchmark portfolio?
title_full_unstemmed Is the ESG portfolio less turbulent than a market benchmark portfolio?
title_short Is the ESG portfolio less turbulent than a market benchmark portfolio?
title_sort is the esg portfolio less turbulent than a market benchmark portfolio?
topic Original Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8227378/
http://dx.doi.org/10.1057/s41283-021-00077-4
work_keys_str_mv AT ouchenabdessamad istheesgportfoliolessturbulentthanamarketbenchmarkportfolio