ESG Integration: Value, Growth and Momentum

50 Pages Posted: 29 Jun 2017 Last revised: 18 Jul 2018

See all articles by Lars Kaiser

Lars Kaiser

University of Liechtenstein

Date Written: January 20, 2018

Abstract

This study provides finer-grained results about the financial effectiveness of ESG integration when combined with mainstream active investment styles. Specifically, we demonstrate that U.S. and European value, growth and momentum investors can raise their portfolio's sustainability performance without sacrificing financial performance. By constructing size and industry-adjusted sustainability ratings and paying particular attention to characteristic differences of corporate governance aspects, we provide the basis for a successful ESG integration and contribute to the evidence on ESG materiality from a risk perspective. Findings add to the growing demand for sustainable products in the traditional investment industry and overcome the notion of sustainability being a burden to classical investment practices.

Keywords: Value, Growth, Momentum, Morningstar Style Box, Sustainable Performance, ESG investing, Risk-mitigation Hypothesis

JEL Classification: G11, G17

Suggested Citation

Kaiser, Lars, ESG Integration: Value, Growth and Momentum (January 20, 2018). 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.uni.li/lars.kaiser

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