ESG Momentum in International Equity Returns and the SDG Content of Financial Asset Portfolios

Phoebe Koundouri; Conrad Felix Michel Landis; Nikitas Pittis

doi:10.1109/SysTol66549.2025.11267373

ESG Momentum in International Equity Returns and the SDG Content of Financial Asset Portfolios

Phoebe Koundouri
, Conrad Felix Michel Landis
, Nikitas Pittis

Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review

Abstract

This study investigates the relationship between Environmental, Social, and Governance (ESG) momentum and Sustainable Development Goals (SDG) integration within international equity markets. Leveraging a robust dataset spanning 2002-2023, we identify pronounced ESG momentum effects in stock returns across 63 global markets. Our ESG momentum factor, derived through monthly rebalancing, demonstrates an impressive, annualized Sharpe ratio of 0.7, underscoring its financial viability. Beyond returns, the study highlights the pivotal role of ESG controversies in shaping shortterm financial performance. We advanced the discourse by integrating ESG principles with the SDG framework, proposing a novel model to calculate the SDG footprint of financial portfolios. This alignment between ESG momentum and SDG implementation emerges as a significant tool for investors and policymakers, particularly considering regulatory advancements like the Corporate Sustainability Reporting Directive (CSRD).

Original language	English
Title of host publication	Proceedings of 2025 6th International Conference on Control and Fault-Tolerant Systems (SysTol)
Publication date	2025
Pages	347-354
DOIs	https://doi.org/10.1109/SysTol66549.2025.11267373
Publication status	Published - 2025
Event	6^th International Conference on Control and Fault-Tolerant Systems - Grecian Park Hotel, Ayia Napa, Cyprus Duration: 6 Oct 2025 → 8 Oct 2025

Conference

Conference	6^th International Conference on Control and Fault-Tolerant Systems
Location	Grecian Park Hotel
Country/Territory	Cyprus
City	Ayia Napa
Period	06/10/2025 → 08/10/2025

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 12 Responsible Consumption and Production

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10.1109/SysTol66549.2025.11267373

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title = "ESG Momentum in International Equity Returns and the SDG Content of Financial Asset Portfolios",

abstract = "This study investigates the relationship between Environmental, Social, and Governance (ESG) momentum and Sustainable Development Goals (SDG) integration within international equity markets. Leveraging a robust dataset spanning 2002-2023, we identify pronounced ESG momentum effects in stock returns across 63 global markets. Our ESG momentum factor, derived through monthly rebalancing, demonstrates an impressive, annualized Sharpe ratio of 0.7, underscoring its financial viability. Beyond returns, the study highlights the pivotal role of ESG controversies in shaping shortterm financial performance. We advanced the discourse by integrating ESG principles with the SDG framework, proposing a novel model to calculate the SDG footprint of financial portfolios. This alignment between ESG momentum and SDG implementation emerges as a significant tool for investors and policymakers, particularly considering regulatory advancements like the Corporate Sustainability Reporting Directive (CSRD).",

author = "Phoebe Koundouri and Landis, \{Conrad Felix Michel\} and Nikitas Pittis",

year = "2025",

doi = "10.1109/SysTol66549.2025.11267373",

language = "English",

pages = "347--354",

booktitle = "Proceedings of 2025 6th International Conference on Control and Fault-Tolerant Systems (SysTol)",

note = "6<sup>th</sup> International Conference on Control and Fault-Tolerant Systems, SysTol 2025 ; Conference date: 06-10-2025 Through 08-10-2025",

}

Koundouri, P, Landis, CFM & Pittis, N 2025, ESG Momentum in International Equity Returns and the SDG Content of Financial Asset Portfolios. in Proceedings of 2025 6th International Conference on Control and Fault-Tolerant Systems (SysTol). pp. 347-354, 6^th International Conference on Control and Fault-Tolerant Systems, Ayia Napa, Cyprus, 06/10/2025. https://doi.org/10.1109/SysTol66549.2025.11267373

ESG Momentum in International Equity Returns and the SDG Content of Financial Asset Portfolios. / Koundouri, Phoebe; Landis, Conrad Felix Michel; Pittis, Nikitas.
Proceedings of 2025 6th International Conference on Control and Fault-Tolerant Systems (SysTol). 2025. p. 347-354.

Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review

TY - GEN

T1 - ESG Momentum in International Equity Returns and the SDG Content of Financial Asset Portfolios

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AB - This study investigates the relationship between Environmental, Social, and Governance (ESG) momentum and Sustainable Development Goals (SDG) integration within international equity markets. Leveraging a robust dataset spanning 2002-2023, we identify pronounced ESG momentum effects in stock returns across 63 global markets. Our ESG momentum factor, derived through monthly rebalancing, demonstrates an impressive, annualized Sharpe ratio of 0.7, underscoring its financial viability. Beyond returns, the study highlights the pivotal role of ESG controversies in shaping shortterm financial performance. We advanced the discourse by integrating ESG principles with the SDG framework, proposing a novel model to calculate the SDG footprint of financial portfolios. This alignment between ESG momentum and SDG implementation emerges as a significant tool for investors and policymakers, particularly considering regulatory advancements like the Corporate Sustainability Reporting Directive (CSRD).

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Y2 - 6 October 2025 through 8 October 2025

ER -

ESG Momentum in International Equity Returns and the SDG Content of Financial Asset Portfolios

Abstract

Conference

UN SDGs

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