Abstract
In this paper we apply Wavelet Analysis to investigate if and for how long information with regards to environmental, social and governance (ESG) influences financial performance of investment strategies of asset managers. Literature suggests that performance of firms implementing ESG strategies only manifests itself in the long term. With Wavelet Analysis this insight is investigated within an event study. In a first step expected returns are modelled using factor models. We then use wavelet analysis to investigate how long ESG-related information might be useful to generate outperformance. We therefore filter the return data and analyze the performance on a scale-by-scale basis. For the largest European Companies we find that medium and long term wavelets are significant in explaining performance.
Presenters
Michaela KiermeierProfessor, Economics and Business Administration, University of Applied Sciences Darmstadt, Germany
Details
Presentation Type
Paper Presentation in a Themed Session
Theme
Economic, Social, and Cultural Context
KEYWORDS
Performance, Wavelet Analysis, ESG strategies
