Hello, Login
X

Forgot Password?

Join Us

to start. Not a member? Join Today!
LinkedIn Join us on
Investment Management Information
“Bridging the theory & practice of investment management”
Email
Advanced Search →
  • Home
  • Journal
    • About
    • Subscribe to the Journal
      • Subscriptions
      • Library Subscriptions
    • Harry M. Markowitz Award
    • Submit a Paper
      • Article Guidelines
      • Practitioner’s Guidelines
    • Reprints & Permissions
    • Advertising
  • Conferences
    • JOIM Conference Events
    • About
    • Membership
    • Board Members
    • Sponsorship
  • Library Access
  • Contact
  • Help

0 comments / 16/01/2018 / christine

Assessing Risk Through Environmental, Social and Governance Exposures

Jeff Dunn, Shaun Fitzgibbons and Lukasz Pomorski
Vol. 16, No 1, 2018

We discuss risk and return implications of incorporating environmental, social and governance (ESG) considerations in an investment strategy and argue that ESG exposures may be informative about the risks of individual firms. We show empirically that stocks with worst ESG exposures have volatility that is up to 15% higher, and betas up to 3% higher, than stocks with the best ESG exposures. We also find that ESG scores may help forecast future changes to risk estimates from a traditional risk model. Controlling for the contemporaneous risk model estimates, we show that poor ESG exposures predict increased future statistical risks.

$25.00 – Checkout Checkout Added to cart

Next Article: Environmental, Social, and Governance Criteria: Why Investors Should Care

Previous Article: How to Calibrate the Risk of Buyout Investments? Through Buyout-Backed Initial Public Offerings

JOIM

    Library Access

    Subscribe to the Journal
    Submit a Paper
    Harry M. Markowitz Award
    Editorial Board
    Upcoming Conferences

    Edit Profile

Recent Comments

    JOIM

      About the JOIM
    • Library Access
    • Subscribe to the Journal
    • Submit a Paper
    • Editorial Board
    • Harry M. Markowitz Award
    • Reprints & Permissions
    • Advertising
    • Terms and Conditions

    JOIM Conference Series

    • About
    • Upcoming Conferences
    • Membership
    • Board Members
    • Sponsorship Opportunities
    • Terms & Conditions
    Speaker Reimbursement Policy

    Contact

    Journal Of Investment Management (JOIM)
    3658 Mt. Diablo Blvd., Suite 200
    Lafayette, CA 94549
    www.joim.com

    customerservice @ joim.com
    (925) 299-7800

    Copyright 2019 — Journal Of Investment Management design by SEO Web Designers