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The impact of liquidity on ESG and SRI performance: empirical evidence from European equities
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| 2.12 MB | Adobe PDF |
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Resumo(s)
This study examines the impact of market liquidity on the financial performance of
sustainable investments, focusing on the European equity market from 2014 to 2024. Using
metrics such as bid-ask spreads and trading volumes alongside macroeconomic factors, the
analysis reveals that higher sustainability scores are associated with improved liquidity but
lower risk-adjusted returns, suggesting a trade-off due to the illiquidity premium. Findings
challenge assumptions of superior sustainable performance and emphasize context-dependent
resilience during crises. These results inform investors and policymakers of the critical role of
liquidity in sustainable finance.
Descrição
Palavras-chave
European equities Sustainability ESG SRI Liquidity Factor analysis Performance