| Autor: |
Höck, Andre, Bauckloh, Tobias, Dumrose, Maurice, Klein, Christian |
| Předmět: |
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| Zdroj: |
Journal of Asset Management; Dec2023, Vol. 24 Issue 7, p572-580, 9p |
| Abstrakt: |
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. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
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