COVID-19 and safer investment bets

Amanjot Singh

Finance Research Letters, 2020, vol. 36, issue C

Abstract: I examine the spillover effects across the three different long-short portfolio indices during the COVID-19 pandemic. The relative outperformance of the ESG portfolio, reported by Nofsinger and Varma (2014) and Lins et al. (2017), comes from the fact that the probability of its returns getting affected by the other safer investment strategies increases during an economic slowdown. It implies that investors become more attentive to corporate fundamentals – causing capital flowing away from the defensive and EAFE portfolios to the ESG portfolio during crisis periods. Investors find refuge in the ESG approach as it focuses on the long-run sustainability of firms.

Keywords: Defensive; EAFE; Emerging markets; ESG; Return Spillover (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (40)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320307583

DOI: 10.1016/j.frl.2020.101729

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