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Keywords: Systematic risk
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Journal Articles
Asymmetric impact of ESG performance on systematic risk: exploring beta plus and beta minus dynamics
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2026) 27 (2): 303–328.
Published: 03 March 2026
...Paulo Morais Francisco; Eduardo Couto Purpose Building on the theoretical model of Albuquerque et al. (2018), this study analyzes the relationship between environmental, social and governance ( ESG ) performance and systematic risk. It examines how overall ESG scores...
Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2022) 23 (1): 85–120.
Published: 04 January 2022
...Gregor Dorfleitner; Johannes Grebler Purpose This paper aims to close gaps in the current literature according to whether there are differences regarding the relationship between corporate social performance (CSP) and systematic risk when diverse regions of the world are considered, and what...
Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2011) 12 (4): 306–314.
Published: 16 August 2011
... a simple data‐driven conditional capital asset pricing model (CAPM); and to examine the effect of conditional heteroscedasticity on the estimation of systematic risk. Design/methodology/approach Systematic risk coefficients (betas) are estimated at first using data of various frequencies from...
