International market exposure to sovereign ESG
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Author(s)
Morgenstern, Christian
Coqueret, Guillaume
Kelly, James
Type
Journal Article
Abstract
We quantify equity and bond market sensitivity to sovereign ESG scores and their variations which, theoretically, is equivalent to evaluating the demand for ESG at the global scale. We do so by estimating a longitudinal model, at the issue level, that captures exposures to sovereign ESG factors for both equity and fixed income indices. In spite of the surging interest in ESG investing, our results do not support a strong impact of ESG factors on the returns of international markets, implying that the demand for ESG at the country level is not a significant driver of prices. Nevertheless, we document a strong association between GDP growth and ESG scores at the country level.
Date Issued
2024-10-01
Date Acceptance
2022-11-14
Citation
Journal of Sustainable Finance and Investment, 2024, 14 (4), pp.968-987
ISSN
2043-0795
Publisher
Taylor and Francis Group
Start Page
968
End Page
987
Journal / Book Title
Journal of Sustainable Finance and Investment
Volume
14
Issue
4
Copyright Statement
© 2022 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis GroupThis is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properlycited.
License URL
Publication Status
Published
Date Publish Online
2022-11-25