Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis

Luca Pedini and Sabrina Severini

MPRA Paper from University Library of Munich, Germany

Abstract: This article proposes an empirical investigation, based on a cross-quantilogram analysis, to assess the hedge, diversifier and safe haven properties of Environmental, Social and Governance (ESG) assets in comparison to conventional investment practices (equity index, gold, commodities and cryptocurrencies). Our evidence shows that ESG assets have a weak safe haven properties but still represent an outstanding diversification and hedge asset, depending on the asset class taken as reference. Our results provide important implications for risk management suggesting that investors have started considering sustainable investing as a new measure of value maximization and risk reduction.

Keywords: cross-quantilogram; ESG investment; safe haven; portfolio allocation (search for similar items in EconPapers)
JEL-codes: C32 C52 G01 G11 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-env and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:112339

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