International market exposure to sovereign ESG - Archive ouverte HAL
Article Dans Une Revue Journal of Sustainable Finance & Investment Année : 2024

International market exposure to sovereign ESG

Guillaume Coqueret
  • Fonction : Auteur
  • PersonId : 1254309
  • IdHAL : gcoqueret
James Kelly
  • Fonction : Auteur

Résumé

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.
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Dates et versions

hal-04325654 , version 1 (13-12-2023)

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Christian Morgenstern, Guillaume Coqueret, James Kelly. International market exposure to sovereign ESG. Journal of Sustainable Finance & Investment, 2024, 14 (4), 968-987 p. ⟨10.1080/20430795.2022.2148817⟩. ⟨hal-04325654⟩

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