Pub Date : 2023-11-04DOI: 10.1057/s41260-023-00335-y
Mark E. Bateman, Lisa R. Goldberg
Abstract A portfolio can be viewed as the collection of the businesses, policies and practices of constituent companies. We measure investors’ Ownership of this collection. Ownership metrics aggregate an assortment of company specific Environmental, Social and Governance (ESG) characteristics to the portfolio level, and they can inform investment and engagement decisions. Relative to a benchmark, investor Ownership is active and satisfies a zero-sum property, which underscores the distinction between Ownership and impact. Ownership of ESG characteristics may be interpreted as ascribing ethical responsibility, but that conclusion and any decisions that result from it belong to the investor.
{"title":"Ownership of ESG characteristics","authors":"Mark E. Bateman, Lisa R. Goldberg","doi":"10.1057/s41260-023-00335-y","DOIUrl":"https://doi.org/10.1057/s41260-023-00335-y","url":null,"abstract":"Abstract A portfolio can be viewed as the collection of the businesses, policies and practices of constituent companies. We measure investors’ Ownership of this collection. Ownership metrics aggregate an assortment of company specific Environmental, Social and Governance (ESG) characteristics to the portfolio level, and they can inform investment and engagement decisions. Relative to a benchmark, investor Ownership is active and satisfies a zero-sum property, which underscores the distinction between Ownership and impact. Ownership of ESG characteristics may be interpreted as ascribing ethical responsibility, but that conclusion and any decisions that result from it belong to the investor.","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"16 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135773521","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-10-25DOI: 10.1057/s41260-023-00337-w
Andre Höck, Tobias Bauckloh, Maurice Dumrose, Christian Klein
Abstract Demand for sustainable fixed-income investment solutions is surging but there is hardly research on the impact of sustainability on the risk characteristics of fixed-income portfolios. This study examines the impact of sustainability on the credit risk exposure of corporate bond portfolios between 2013 and 2020 by analyzing the returns of sustainable and non-sustainable portfolios using two different asset pricing models and environmental, social, and governance (ESG) ratings from different providers. Controlling for a set of portfolio characteristics, our results show that sustainable portfolios are significantly less exposed to credit risk than their non-sustainable peer portfolios. This finding implies that considering ESG criteria in portfolio management is a suitable means to systematically manage credit risk. Being the first study to investigate the relationship between sustainability and credit risk on a portfolio level, this study contributes to the understanding of the effects of ESG criteria in portfolio management and provides academics and investment professionals with valuable insights.
{"title":"ESG criteria and the credit risk of corporate bond portfolios","authors":"Andre Höck, Tobias Bauckloh, Maurice Dumrose, Christian Klein","doi":"10.1057/s41260-023-00337-w","DOIUrl":"https://doi.org/10.1057/s41260-023-00337-w","url":null,"abstract":"Abstract Demand for sustainable fixed-income investment solutions is surging but there is hardly research on the impact of sustainability on the risk characteristics of fixed-income portfolios. This study examines the impact of sustainability on the credit risk exposure of corporate bond portfolios between 2013 and 2020 by analyzing the returns of sustainable and non-sustainable portfolios using two different asset pricing models and environmental, social, and governance (ESG) ratings from different providers. Controlling for a set of portfolio characteristics, our results show that sustainable portfolios are significantly less exposed to credit risk than their non-sustainable peer portfolios. This finding implies that considering ESG criteria in portfolio management is a suitable means to systematically manage credit risk. Being the first study to investigate the relationship between sustainability and credit risk on a portfolio level, this study contributes to the understanding of the effects of ESG criteria in portfolio management and provides academics and investment professionals with valuable insights.","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"494 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135113429","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-10-13DOI: 10.1057/s41260-023-00331-2
Amel Farhat, Amal Hili
{"title":"The performance of compliant stocks during the Covid-19 crisis","authors":"Amel Farhat, Amal Hili","doi":"10.1057/s41260-023-00331-2","DOIUrl":"https://doi.org/10.1057/s41260-023-00331-2","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135858425","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-10-11DOI: 10.1057/s41260-023-00332-1
Edib Smolo, Ruslan Nagayev, Rashed Jahangir, Christo S. C. Tarazi
{"title":"Resilience amidst turmoil: a multi-resolution analysis of portfolio diversification in emerging markets during global financial and health crises","authors":"Edib Smolo, Ruslan Nagayev, Rashed Jahangir, Christo S. C. Tarazi","doi":"10.1057/s41260-023-00332-1","DOIUrl":"https://doi.org/10.1057/s41260-023-00332-1","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136209671","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-29DOI: 10.1057/s41260-023-00334-z
Emon Kalyan Chowdhury
{"title":"Do weather patterns effect investment decisions in the stock market? A South Asian perspective","authors":"Emon Kalyan Chowdhury","doi":"10.1057/s41260-023-00334-z","DOIUrl":"https://doi.org/10.1057/s41260-023-00334-z","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135199937","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-27DOI: 10.1057/s41260-023-00329-w
Arati Kale, Devendra Kale, Sriram Villupuram
{"title":"Decomposition of risk for small size and low book-to-market stocks","authors":"Arati Kale, Devendra Kale, Sriram Villupuram","doi":"10.1057/s41260-023-00329-w","DOIUrl":"https://doi.org/10.1057/s41260-023-00329-w","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135536497","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-20DOI: 10.1057/s41260-023-00326-z
Gilles Boevi Koumou
{"title":"Risk budgeting using a generalized diversity index","authors":"Gilles Boevi Koumou","doi":"10.1057/s41260-023-00326-z","DOIUrl":"https://doi.org/10.1057/s41260-023-00326-z","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136313525","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-12DOI: 10.1057/s41260-023-00327-y
Stephen A. Gorman, Frank J. Fabozzi
{"title":"Alternative risk premium: specification noise","authors":"Stephen A. Gorman, Frank J. Fabozzi","doi":"10.1057/s41260-023-00327-y","DOIUrl":"https://doi.org/10.1057/s41260-023-00327-y","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135830270","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-19DOI: 10.1057/s41260-023-00325-0
Thomas Cauthorn, Christian Klein, Leonard Remme, Bernhard Zwergel
Abstract This paper investigates carbon and energy mix risk in the equity prices of EU-Taxonomy orientated and renewable European electric utility companies. We calculate carbon intensity and energy mix factors to measure possible carbon and energy mix premia while investigating the performance of portfolios of EU-Taxonomy orientated and renewable European electric utilities. We use a unique dataset to extend the three-factor model presented by Fama and French (1993) and find evidence of a positive renewable energy mix premium for portfolios of EU-Taxonomy orientated firms and firms with a high level of renewable energy in the energy mix. A positive low-carbon premium is also found for these same portfolios. Lastly, based on the three-factor model, an EU-Taxonomy orientated portfolio outperforms both a non-orientated portfolio and a non-reporting portfolio while a renewable energy portfolio outperforms a conventional energy portfolio. Our results are important for regulators, investors and European electric utilities in assessing the impact environmental regulations have on a firm’s cost of capital.
{"title":"Portfolio benefits of taxonomy orientated and renewable European electric utilities","authors":"Thomas Cauthorn, Christian Klein, Leonard Remme, Bernhard Zwergel","doi":"10.1057/s41260-023-00325-0","DOIUrl":"https://doi.org/10.1057/s41260-023-00325-0","url":null,"abstract":"Abstract This paper investigates carbon and energy mix risk in the equity prices of EU-Taxonomy orientated and renewable European electric utility companies. We calculate carbon intensity and energy mix factors to measure possible carbon and energy mix premia while investigating the performance of portfolios of EU-Taxonomy orientated and renewable European electric utilities. We use a unique dataset to extend the three-factor model presented by Fama and French (1993) and find evidence of a positive renewable energy mix premium for portfolios of EU-Taxonomy orientated firms and firms with a high level of renewable energy in the energy mix. A positive low-carbon premium is also found for these same portfolios. Lastly, based on the three-factor model, an EU-Taxonomy orientated portfolio outperforms both a non-orientated portfolio and a non-reporting portfolio while a renewable energy portfolio outperforms a conventional energy portfolio. Our results are important for regulators, investors and European electric utilities in assessing the impact environmental regulations have on a firm’s cost of capital.","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"67 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135937635","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-12DOI: 10.1057/s41260-023-00323-2
Adeyinka Adediran, B. Babajide, N. Osina
{"title":"Exploring the nexus between price and volume changes in the cryptocurrency market","authors":"Adeyinka Adediran, B. Babajide, N. Osina","doi":"10.1057/s41260-023-00323-2","DOIUrl":"https://doi.org/10.1057/s41260-023-00323-2","url":null,"abstract":"","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"24 1","pages":"498 - 512"},"PeriodicalIF":2.5,"publicationDate":"2023-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47323475","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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