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Integrating ESG in factor-based investing in sovereign bond markets: a size approach
| Nome: | Descrição: | Tamanho: | Formato: | |
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| 2.13 MB | Adobe PDF |
Orientador(es)
Resumo(s)
The group report analyses the joint impact of Momentum, Value, Size, and Low Volatility in factor-based investing in sovereign bond emerging and developed markets, develops an ESG factor, and assesses its effects across several strategies. This individual report focuses on a Size approach and finds that the total value of government debt can be used to achieve higher risk-adjusted returns. Across the 13 years of data, the results show that ESG scores have little impact on top of the Size factor. This new integrated approach to sovereign bond markets adds to the recent and increasing literature on ESG investing.
Descrição
Palavras-chave
Finance Financial markets Financial or data analysis ESG Sovereign bond markets Factor-based investing