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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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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Palgrave Macmillan UK
2021
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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.” |
format | Online Article Text |
id | pubmed-8227378 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2021 |
publisher | Palgrave Macmillan UK |
record_format | MEDLINE/PubMed |
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 |