ESG-screening and factor-risk-adjusted performance: the concentration level of screening does matter
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DOI: 10.1080/20430795.2020.1837501
Abstract: Constructing ESG-screened portfolios aims to reduce the aggregate ESG-risk at the portfolio level by excluding low ESG-score constituents from the selection universe. But ESG-screening imposes limi... read more here.
Keywords: esg; screening factor; factor risk; level ... See more keywords