Styles through a convergent/divergent lens: the curious case of ESG

Yang Gao (), Stephen Satchell () and Nandini Srivastava ()
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Yang Gao: Huazhong University of Science and Technology
Stephen Satchell: University of Cambridge
Nandini Srivastava: University of Cambridge

Journal of Asset Management, 2020, vol. 21, issue 1, No 2, 4-12

Abstract: Abstract We look at a technique of classification, based on convergent and divergent patterns of returns that has been applied to hedge funds and alternative investments, and apply it to US equity investment styles with a particular interest in ESG. We extend the technique by looking at the impact of price changes on factor-mimicking portfolio weights. This analysis leads to powerful insights into style return dynamics. In particular, an ESG-ranked long-short portfolio looks more like momentum than value.

Keywords: Convergent; Divergent; ESG; Factor-mimicking portfolio; Styles (search for similar items in EconPapers)
JEL-codes: G11 G17 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1057/s41260-019-00146-0

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