Results summary
| Global factor | Quantile regression insights | Market phase sensitivity |
|---|---|---|
| Green Bond Returns | Consistently positive across all quantiles; strongest during normal and early bullish phases | Suggests unified performance of green stocks and bonds, reducing diversification potential during moderate/bullish trends |
| VIX | Strongly negative during bearish/normal markets (Q1–Q5); switches to positive in bullish quantiles (notably Q8) | Reflects fear-driven flight from ESG in downturns; possible “safe-haven” appeal of green stocks in optimistic markets |
| OVX | Positive during normal (Q4–Q6) and bullish markets (Q7–Q8); insignificant during bearish phases | Supports the “green hedge” hypothesis—oil market instability pushes capital into sustainable stocks during stable times |
| Global Geopolitical Risk | Insignificant across all quantiles | Indicates France's ESG index resilience to geopolitical tensions |
| Climate Transition Risks | Negative impact, especially during bullish phases | Bull markets favor high-return sectors (e.g. tech, energy); ESG firms face short-term transition costs |
| Physical Climate Risks | Strong negative effect during bearish markets (lowest quantiles) | Investors flee climate-exposed assets in downturns, reinforcing ESG underperformance |
| Global factor | Quantile regression insights | Market phase sensitivity |
|---|---|---|
| Green Bond Returns | Consistently positive across all quantiles; strongest during normal and early bullish phases | Suggests unified performance of green stocks and bonds, reducing diversification potential during moderate/bullish trends |
| VIX | Strongly negative during bearish/normal markets (Q1–Q5); switches to positive in bullish quantiles (notably Q8) | Reflects fear-driven flight from ESG in downturns; possible “safe-haven” appeal of green stocks in optimistic markets |
| OVX | Positive during normal (Q4–Q6) and bullish markets (Q7–Q8); insignificant during bearish phases | Supports the “green hedge” hypothesis—oil market instability pushes capital into sustainable stocks during stable times |
| Global Geopolitical Risk | Insignificant across all quantiles | Indicates France's ESG index resilience to geopolitical tensions |
| Climate Transition Risks | Negative impact, especially during bullish phases | Bull markets favor high-return sectors (e.g. tech, energy); ESG firms face short-term transition costs |
| Physical Climate Risks | Strong negative effect during bearish markets (lowest quantiles) | Investors flee climate-exposed assets in downturns, reinforcing ESG underperformance |
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.