Logo
Munich Personal RePEc Archive

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

Pedini, Luca and Severini, Sabrina (2022): Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis.

[img]
Preview
PDF
MPRA_paper_112339.pdf

Download (2MB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.