Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/306672 
Year of Publication: 
2023
Citation: 
[Journal:] Journal of Asset Management [ISSN:] 1479-179X [Volume:] 24 [Issue:] 7 [Publisher:] Springer Nature [Place:] Berlin [Year:] 2023 [Pages:] 572-580
Publisher: 
Springer Nature, Berlin
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.
Subjects: 
Sustainability
Credit Risk Management
Corporate Bonds
JEL: 
G12
G32
Q56
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.