Do extreme-risk spillovers improve ESG portfolio selection?
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S Zhang, Y Yang, J Cai
Finance Research Letters, 2026
Elsevier
AbstractThis paper examines whether extreme-risk spillover information improves ESG-based portfolio selection. Using daily stock returns for China, the United States, and the United Kingdom from 2014 to 2020, we construct annual firm-level tail-risk connectedness measures, proxied by normalized degree centrality in Granger-causality-in-risk networks. The results demonstrate that the incremental value of extreme-risk information is market-specific. In the US and UK, high-ESG portfolios outperform low-ESG portfolios in risk …
