Studies from Jaipuria Institute of Management in the Area of Risk Management Published (An Analysis of Volatility and Risk-Adjusted Returns of ESG Indices in Developed and Emerging Economies): Insurance – Risk Management

Insurance Daily News

2023 NOV 07 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- New research on risk management is the subject of a new report. According to news reporting out of Lucknow, India, by NewsRx editors, research stated, “The importance of Environmental, Social, and Governance (ESG) aspects in investment decisions has grown significantly in today’s volatile financial market. This study aims to answer the important question of whether investing in ESG-compliant companies is a better option for investors in both developed and emerging markets.”

The news correspondents obtained a quote from the research from Jaipuria Institute of Management: “This study assesses ESG investment performance in diverse regions, focusing on developed markets with high GDP, specifically the USA, Germany, and Japan, alongside emerging nations, India, Brazil, and China. We compare ESG indices against respective broad market indices, all comprising large and mid-cap stocks. This study employs a variety of risk-adjusted criteria to systematically compare the performance of ESG indices against broad market indices. The evaluation also delves into downside volatility, a crucial factor for portfolio growth. It also explores how news events impact ESG and market indices in developed and emerging economies using the EGARCH model. The findings show that, daily, there is no significant difference in returns between ESG and conventional indices. However, when assessing one-year rolling returns, ESG indices outperform the overall market indices in all countries except Brazil, exhibiting positive alpha and offering better risk-adjusted returns. ESG portfolios also provide more downside risk protection, with higher upside beta than downside beta in most countries (except the USA and India).”

According to the news reporters, the research concluded: “Furthermore, negative news has a milder impact on the volatility of ESG indices in all of the studied countries except for Germany. This suggests that designing a portfolio based on ESG-compliant companies could be a prudent choice for investors, as it yields relatively better risk-adjusted returns compared to the respective market indices. Furthermore, there is insufficient evidence to definitively establish that the performance of ESG indices varies significantly between developed and emerging markets.”

For more information on this research see: An Analysis of Volatility and Risk-Adjusted Returns of ESG Indices in Developed and Emerging Economies. Risks, 2023,11(10). (Risks - http://www.mdpi.com/journal/risks). The publisher for Risks is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/risks11100182.

Our news editors report that more information may be obtained by contacting Hemendra Gupta, Department of Finance, Jaipuria Institute of Management, Lucknow 226010, India. Additional authors for this research include Rashmi Chaudhary.

ORCID is an identifier for authors and includes bibliographic information. The following is ORCID information for the authors of this research: Hemendra Gupta (http://orcid.org/0000-0001-5661-2880), Rashmi Chaudhary (http://orcid.org/0000-0001-8131-4236).