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A retrospective look into the covid-19 pandemic: does higher esg portfolios perform better during periods of financial distress
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Resumo(s)
The following paper examines how financial securities with high ESG risk-premia exposure
perform compared to ones with low ESG risk-premia. The overperformance of high-ESG
stocks is an ongoing debate. Yet, a consensus has not been reached, particularly one related
to the performance during periods of crisis, such as the COVID-19 pandemic. This study
examines empirically how six different portfolio with different ESG characteristics perform
during the COVID-19 time window. The cumulative return, Sharpe ratio, and the Treynor
measure, considered the principal indicators regarding financial performance in this study,
demonstrate that high-ESG portfolios indeed outperform their peers during periods of crisis.
Descrição
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Environmental Social Governance Financial performance Crisis Covid-19 pandemic Portfolio Risk.