Quantifying the returns of ESG investing: An empirical analysis with six ESG metrics
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F Berg, AW Lo, R Rigobon, M Singh, R Zhang
2023
papers.ssrn.com
We quantify the financial performance of environmental, social, and governance (ESG) portfolios in the US, Europe, and Japan, based on data from six major ESG rating agencies. We document statistically significant excess returns in ESG portfolios from 2014 to 2020 in the US and Japan. We propose several statistical and voting-based methods to aggregate individual ESG ratings, the latter based on the theory of social choice. We find that aggregating individual ESG ratings improves portfolio performance. In addition, we find that …
