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ESG criteria and the credit risk of corporate bond portfolios.
- Source :
- Journal of Asset Management; Dec2023, Vol. 24 Issue 7, p572-580, 9p
- Publication Year :
- 2023
-
Abstract
- Demand for sustainable fixed-income investment solutions is surging but there is hardly research on the impact of sustainability on the risk characteristics of fixed-income portfolios. This study examines the impact of sustainability on the credit risk exposure of corporate bond portfolios between 2013 and 2020 by analyzing the returns of sustainable and non-sustainable portfolios using two different asset pricing models and environmental, social, and governance (ESG) ratings from different providers. Controlling for a set of portfolio characteristics, our results show that sustainable portfolios are significantly less exposed to credit risk than their non-sustainable peer portfolios. This finding implies that considering ESG criteria in portfolio management is a suitable means to systematically manage credit risk. Being the first study to investigate the relationship between sustainability and credit risk on a portfolio level, this study contributes to the understanding of the effects of ESG criteria in portfolio management and provides academics and investment professionals with valuable insights. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 14708272
- Volume :
- 24
- Issue :
- 7
- Database :
- Complementary Index
- Journal :
- Journal of Asset Management
- Publication Type :
- Academic Journal
- Accession number :
- 173766760
- Full Text :
- https://doi.org/10.1057/s41260-023-00337-w