ESG Integration: Value, Growth and Momentum

Kaiser, L. (2020). ESG Integration: Value, Growth and Momentum. Journal of Asset Management, 21, 32-51. https://doi.org/10.1057/s41260-019-00148-y

41 Pages Posted: 29 Jun 2017 Last revised: 7 Jul 2020

See all articles by Lars Kaiser

Lars Kaiser

University of Liechtenstein

Date Written: December 23, 2019

Abstract

This study provides finer-grained results on the financial effectiveness of ESG integration for mainstream active investment styles. We account for firm-size, industry and country effects within ESG scores and introduce the concept of ESG risk materiality. Empirical evidence shows, that U.S. and European investors can raise their portfolio's ESG level and increase risk-adjusted performance at the same time. Thereby, we add to the growing demand for sustainable products in the traditional investment industry and overcome the notion of ESG integration being a burden to traditional investment strategies.

Keywords: Value, Growth, Momentum, Morningstar Style Box, Sustainable performance, ESG integration, ESG materiality, Risk-mitigation hypothesis

JEL Classification: G11, G17

Suggested Citation

Kaiser, Lars, ESG Integration: Value, Growth and Momentum (December 23, 2019). Kaiser, L. (2020). ESG Integration: Value, Growth and Momentum. Journal of Asset Management, 21, 32-51. https://doi.org/10.1057/s41260-019-00148-y, Available at SSRN: https://ssrn.com/abstract=2993843 or http://dx.doi.org/10.2139/ssrn.2993843

Lars Kaiser (Contact Author)

University of Liechtenstein ( email )

Fürst Franz Josef Strasse
Vaduz, 9490
Liechtenstein
+423 265 1186 (Phone)

HOME PAGE: http://www.lars-kaiser.org

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