{
  "abstract": "In this study, we analyze the time varying nature of the systematic risk of an ESG portfolio to common sources of systematic risk. We model the conditional covariances and variances of different sources of systematic risk such as the world stock index, risk aversion as a proxy for investment sentiment (fear), and changes in interest rates. Afterwards, we test for sources of transmission of volatility to ESG systematic risk by controlling for different stages of the business cycle and rising interest rates. Our main finding is that investment sentiment (fear) is not a statistically significant source of systematic risk to the ESG portfolio in the expansion phases of the business cycle but becomes highly relevant in the trough and recession phases and during periods of rising interest rates.",
  "abstract_shown": true,
  "affiliations": [
    "EGADE Business School, Tecnologico de Monterrey, Mexico City, Mexico",
    "Syracuse University, Whitman School of Management, Syracuse, New York, United States of America"
  ],
  "article_type": "Research Article",
  "arxiv": null,
  "author_total": 2,
  "authors": [
    {
      "affs": [
        0
      ],
      "name": "Edgardo Cayon"
    },
    {
      "affs": [
        1
      ],
      "name": "Ravi Shukla"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/0qv40jgyhz8mm.bib",
  "cited_by": 0,
  "doi": "10.1371/journal.pone.0341348",
  "fulltext_url": null,
  "id": "0qv40jgyhz8mm",
  "issns": [
    "1932-6203"
  ],
  "landing_url": "https://doi.org/10.1371/journal.pone.0341348",
  "language": null,
  "licence": "CC-BY-4.0",
  "licence_label": "CC BY 4.0",
  "licence_source": "journal",
  "licence_url": "https://creativecommons.org/licenses/by/4.0/",
  "metadata_licence": null,
  "native_subjects": [
    [
      "plos",
      "/People and places/Geographical locations/North America/United States"
    ],
    [
      "plos",
      "/Physical sciences/Mathematics/Probability theory/Random variables/Covariance"
    ],
    [
      "plos",
      "/Physical sciences/Mathematics/Statistics/Statistical methods/Statistical inference"
    ],
    [
      "plos",
      "/Research and analysis methods/Mathematical and statistical techniques/Statistical methods/Statistical inference"
    ],
    [
      "plos",
      "/Social sciences/Economics/Economic analysis/Economic impact analysis"
    ],
    [
      "plos",
      "/Social sciences/Economics/Finance"
    ],
    [
      "plos",
      "/Social sciences/Economics/Finance/Public finance/Monetary policy"
    ],
    [
      "plos",
      "/Social sciences/Economics/Financial markets"
    ],
    [
      "plos",
      "/Social sciences/Economics/Financial markets/Capital markets/Stock markets"
    ]
  ],
  "openalex": null,
  "pdf_url": null,
  "pmcid": null,
  "pmid": null,
  "published": "2026-11-05",
  "publisher": "Public Library of Science",
  "ris": "https://research.draconitic.com/paper/0qv40jgyhz8mm.ris",
  "sources": [
    {
      "first_seen": "2026-11-06T12:20:42Z",
      "native_id": "10.1371/journal.pone.0341348",
      "source": "plos",
      "url": "https://doi.org/10.1371/journal.pone.0341348"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "plos:probability theory",
      "subfield": "probability"
    },
    {
      "field": "mathematics",
      "origin": "plos:statistical methods",
      "subfield": "statistics"
    }
  ],
  "title": "The effects on investor sentiment and business cycles on the systematic risk of an ESG portfolio",
  "title_text": "The effects on investor sentiment and business cycles on the systematic risk of an ESG portfolio",
  "type": "peer-reviewed",
  "updated_at": "2026-11-07T12:20:24Z",
  "url": "https://research.draconitic.com/paper/0qv40jgyhz8mm",
  "venue": "PLOS One",
  "versions": []
}