risk factor. There is equally strong evidence that a ESG spread strategy that buys (sells) low (high) ESG score volatility … time causing realised ex-post average abnormal returns). Short-term ESG momentum may represent a novel, priced systematic …

We conduct a thorough analysis on the role played by the unobserved systematic risk factor in default prediction. We … systematic risk factor when simulating portfolio credit losses. However, we also find that this factor only marginally improves … risk factor is considered. …