Analysis of Risks and Returns of ESG Portfolios under Different Market Conditions

Zisheng Liang ()
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Zisheng Liang: New York University, Department of Economics, College of Arts and Science

A chapter in Proceedings of the 2024 2nd International Conference on Finance, Trade and Business Management (FTBM 2024), 2024, pp 330-338 from Springer

Abstract: Abstract This paper explores the risks and returns of ESG (Environmental, Social, and Governance) portfolios under different market conditions in China, the United States, and Europe. By analyzing stock price data from January 1, 2021, to December 31, 2023, this study investigates the comparative performance of ESG investments during bull and bear markets. The results indicate that high ESG-score portfolios exhibit greater resilience and lower volatility in bear markets compared to low-ESG portfolios while delivering competitive returns in bull markets. This finding suggests that ESG investments not only contribute to sustainable development but also offer potential risk mitigation benefits during market downturns.

Keywords: ESG investments; Market conditions; Risk and return analysis; Comparative study; Stock price data (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-546-1_37

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DOI: 10.2991/978-94-6463-546-1_37

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