International market exposure to sovereign ESG

Christian Morgenstern, Guillaume Coqueret () and James Kelly
Additional contact information
Christian Morgenstern: Imperial College London
Guillaume Coqueret: EM - EMLyon Business School

Post-Print from HAL

Abstract: We quantify equity and bond market sensitivity to sovereign ESG scores and their variations which, theoretically, is equivalent to evaluating the demand for ESG at the global scale. We do so by estimating a longitudinal model, at the issue level, that captures exposures to sovereign ESG factors for both equity and fixed income indices. In spite of the surging interest in ESG investing, our results do not support a strong impact of ESG factors on the returns of international markets, implying that the demand for ESG at the country level is not a significant driver of prices. Nevertheless, we document a strong association between GDP growth and ESG scores at the country level.

Keywords: Factor demand; longitudinal models; sovereign ESG; sustainable investing (search for similar items in EconPapers)
Date: 2024-10
New Economics Papers: this item is included in nep-env
Note: View the original document on HAL open archive server: https://hal.science/hal-04325654v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Journal of Sustainable Finance & Investment, 2024, 14 (4), 968-987 p. ⟨10.1080/20430795.2022.2148817⟩

Downloads: (external link)
https://hal.science/hal-04325654v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04325654

DOI: 10.1080/20430795.2022.2148817

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().