ESG criteria and the credit risk of corporate bond portfolios
| dc.date.accessioned | 2023-12-06T11:40:54Z | |
| dc.date.available | 2023-12-06T11:40:54Z | |
| dc.date.issued | 2023-10-25 | |
| dc.description.sponsorship | Gefördert im Rahmen des Projekts DEAL | ger |
| dc.identifier | doi:10.17170/kobra-202312069175 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/15270 | |
| dc.language.iso | eng | |
| dc.relation.doi | doi:10.1057/s41260-023-00337-w | |
| dc.rights | Namensnennung 4.0 International | * |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | * |
| dc.subject | Sustainability | eng |
| dc.subject | Credit Risk Management | eng |
| dc.subject | Corporate Bonds | eng |
| dc.subject.ddc | 330 | |
| dc.subject.swd | Nachhaltigkeit | ger |
| dc.subject.swd | Environmental, Social and Governance | ger |
| dc.subject.swd | Kreditrisiko | ger |
| dc.subject.swd | Risikomanagement | ger |
| dc.subject.swd | Industrieobligation | ger |
| dc.title | ESG criteria and the credit risk of corporate bond portfolios | eng |
| dc.type | Aufsatz | |
| dc.type.version | publishedVersion | |
| dcterms.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. | eng |
| dcterms.accessRights | open access | |
| dcterms.creator | Höck, André | |
| dcterms.creator | Bauckloh, Tobias | |
| dcterms.creator | Dumrose, Maurice | |
| dcterms.creator | Klein, Christian | |
| dcterms.source.identifier | eissn:1479-179X | |
| dcterms.source.issue | Issue 7 | |
| dcterms.source.journal | Journal of Asset Management | eng |
| dcterms.source.pageinfo | 572-580 | |
| dcterms.source.volume | Volume 24 | |
| kup.iskup | false |