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
Date Written: December 23, 2019
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: Suggested Citation