Responsible investing, financial performance, or both

• Autor(a) principal: Zouaoui, Maher
• Data de Publicação: 2021
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10362/145353
• topic: Asset pricing; Investing; Mutual funds; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

Are investors sacrificing risk-adjusted returns by incorporating Environmental, Social, and corporate Governance considerations into their portfolios? Based on Refinitiv data, we analyze and compare the risk-adjusted performance of the buy and hold strategy of equally weighted portfolios composed of US based, high and low ESG ranking stocks from 2006 to 2020. I apply the same approach on portfolios composed of high and low Social, Environmental, and Governance scores separately. I found that ,the equally weighted portfolios composed of high-ESG scores stocks from the S&P 500Equal Weight Index universe, stage lower absolute returns than the benchmark yet acts as a tail-risk mitigation tool. It also generates close but lower absolute returns and significantly inferior risk-adjusted returns than the equally weighted bottom quartile ESG portfolio during the analysis period.