[HTML][HTML] Is the ESG portfolio less turbulent than a market benchmark portfolio?

A Ouchen - Risk Management, 2022 - Springer
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 …

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

AJ Useche, J Martínez‐Ferrero… - Corporate Social …, 2024 - Wiley Online Library
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 …

[HTML][HTML] Saudi green banks and stock return volatility: GLE algorithm and neural network models

HF Assous - Economies, 2022 - mdpi.com
This study investigates the effects of ESG factors on stock return volatility from 2012 to 2020
using linear regression, GLE algorithm, and neural network models. This paper used the …

[HTML][HTML] Dissecting the explanatory power of ESG features on equity returns by sector, capitalization, and year with interpretable machine learning

J Assael, L Carlier, D Challet - Journal of Risk and Financial Management, 2023 - mdpi.com
We systematically investigate the links between price returns and Environment, Social and
Governance (ESG) scores in the European equity market. Using interpretable machine …

[BOOK][B] Perspectives in sustainable equity investing

G Coqueret - 2022 - taylorfrancis.com
Sustainable investing has recently gained traction throughout the world. This trend has
multiple sources, which span from genuine ethical concerns to hopes of performance …

Portfolio replication: Islamic vs conventional

I Tlemsani, MA Mohamed Hashim… - Journal of Islamic …, 2023 - emerald.com
Purpose This conceptual paper aims to explore portfolio replication to resolve post-COVID
pandemic private and public debt. This paper stresses the need to be less dependent on a …

ESG Investing: A Decision-Making Paradox?

O Guedhami, D Louton, H Saraoglu… - The Journal of Impact …, 2022 - pm-research.com
Debates about the attributes of environmental, social, and governance (ESG) investing are
ongoing. The definitions, integration methods, performance outcomes, and data consistency …

Quantile-based spillover connectedness among stochastic volatilities of ESG equities, Islamic and conventional stocks with implications for portfolio management

M Ghaemi Asl, R Khalfaoui, HR Tavakkoli… - International Journal of …, 2023 - emerald.com
Purpose This study aims to investigate the relationship between stock markets,
environmental, social and governance (ESG) factors and Shariah-compliant in an integrated …

ESG Risk Premia and the Impact of ESG Awareness: Differences between the US and the EMU Markets

C Koziol, S Kuhn - The Journal of Portfolio Management, 2023 - jpm.pm-research.com
In this article, the authors analyze the impact of environmental, social, and governance
(ESG) investing on stock returns. For this purpose, they follow the notion that higher ESG …

Perspectives in ESG equity investing

G Coqueret - Perspectives in ESG equity investing (March 10 …, 2021 - papers.ssrn.com
The research on sustainable finance has intensified in the past decade. In this survey, we
synthesize recent academic results and models on socially responsible investing (SRI) in …