Performance of sustainable indices: Are there differences between pre- and post-inception?

Kestler N, Scholz H (2023)


Publication Language: English

Publication Type: Other publication type

Publication year: 2023

Abstract

In this paper, we examine the performance of sustainable stock indices. Our primary

objective is to investigate whether these indices exhibit a performance difference before

and after their inception. According to previous literature we expect an outperformance

in the pre-inception period and/or a subsequent performance decline after inception

for certain categories of indices. In our empirical analysis, we distinguish between

ESG labelled indices and sustainability related indices perform several performance

tests. Our results show a pattern of outperformance in the pre-inception period for all

index categories. This outperformance is then followed by a performance decline in the

period after inception by some certain types of categorized indices i.e. Smart-Beta-ESG

and Thematic-ESG Indices. Thus investors should be careful when comparing index

performance. Especially index performance might not be an inappropriate indication of

performance, hence investor should act with caution when selecting certain sustainable

ETFs.

Authors with CRIS profile

How to cite

APA:

Kestler, N., & Scholz, H. (2023). Performance of sustainable indices: Are there differences between pre- and post-inception?

MLA:

Kestler, Niklas, and Hendrik Scholz. Performance of sustainable indices: Are there differences between pre- and post-inception? 2023.

BibTeX: Download