The Performance of ESG Investing in Fixed-income: A closer look at Recession and Non-recession Periods

Fátima Serrano

Student thesis: Master thesis


This thesis studies the effect of screening for Environmental, Social and Governance on corporate bonds returns by looking at their relative performance in periods of market crisis and non-crisis. More specifically, the risk-adjusted financial performance of bonds issued by European companies with high-ESG score is compared with a matched sample of conventional Investment-Grade bonds. By applying well known models in financial theory we find that compared to conventional bond, ESG bonds seem to underperform during the period of market crisis. For periods of financial stability, the picture is quite different with both bond classes showing similar performance. Potential explanations for the asymmetry of returns observed during different market regimes are presented in the end of the paper.

EducationsMSc in Finance and Strategic Management, (Graduate Programme) Final Thesis
Publication date2018
Number of pages83