A carregar...
Publicação
How do ESG screening strategies influence risk-adjusted returns and volatility in investment portfolios?
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 498.07 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
This paper examines the effects of ESG screening strategies—negative and positive—on
portfolio performance in the U.S. and European markets. Using large-cap portfolios, the study
evaluates risk-adjusted returns, volatility, and diversification impacts of different screening
strategies. Results indicate that negative screening provides competitive returns with
manageable risk in large portfolios, while intensive positive screening leads to lower
performance despite reduced volatility. No consistent outperformance was observed across
ESG-screened portfolios. These findings contribute to the growing discussion on the financial
implications of ESG integration for retail and institutional investors.
Descrição
Palavras-chave
ESG Responsible investing Screening strategies ESG screening Portfolio performance Risk-adjusted returns Volatility and diversification