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Has sustainable investing made an impact in the period of COVID-19?: Evidence from Australian exchange traded funds

journal contribution
posted on 03.02.2022, 23:43 by Lan SunLan Sun, Garrick SmallGarrick Small
We study the impact of sustainability on the financial performance of exchange-traded funds (ETFs) in the period of COVID-19. Using a sample of 244 Australian ETFs rated by Morningstar in April 2020, we conducted the portfolio analysis and cross-sectional regression analysis, and the results show that ETF portfolios with lower carbon risk and fossil fuel exposure tend to outperform. However, ETF portfolios with higher social risk tend to deliver a better performance. We also find that ETF portfolios with high environmental risk, governance risk, carbon risk and fossil fuel exposure are more likely to experience high volatility in stock returns. The findings will serve as an important point of reference for investors, businesses and wider stakeholders. The sustainable investing is proving to be resilient during the COVID-19 and a closer look at ESG risks is a lens through which business leaders can build better and more resilient enterprises.

History

Volume

12

Issue

1

Start Page

251

End Page

273

Number of Pages

23

eISSN

2043-0809

ISSN

2043-0795

Publisher

Taylor & Francis

Language

en

Peer Reviewed

Yes

Open Access

No

Acceptance Date

03/09/2021

Era Eligible

Yes

Journal

Journal of Sustainable Finance and Investment