ESG investment performance and global attention to sustainability
Vu, Thanh Nam; Lehkonen, Heikki; Junttila, Juha-Pekka; Lucey, Brian (2024-09-12)
Elsevier
12.09.2024
Thanh Nam Vu, Heikki Lehkonen, Juha-Pekka Junttila, Brian Lucey, ESG investment performance and global attention to sustainability, The North American Journal of Economics and Finance, Volume 75, Part A, 2025, 102287, ISSN 1062-9408, https://doi.org/10.1016/j.najef.2024.102287
https://creativecommons.org/licenses/by/4.0/
© 2024 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/)
https://creativecommons.org/licenses/by/4.0/
© 2024 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/)
https://creativecommons.org/licenses/by/4.0/
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:oulu-202409256048
https://urn.fi/URN:NBN:fi:oulu-202409256048
Tiivistelmä
Abstract
We analyze ESG-based investments in stocks across 23 developed markets using daily data from 2004 to 2022. The findings suggest a weak relationship between the ESG ratings and expected returns, with some evidence of modest underperformance of high ESG stocks compared to lower-rated ones in specific periods. This outcome indicates that stock prices have already reflected ESG information, and well-known asset pricing factors can effectively capture the returns of portfolios based on ESG ratings. However, the strength of this relationship depends on global attention to sustainability, where high ESG-rated stocks tend to gain advantages during unexpected attention increases, highlighting the dynamic, nonlinear nature of this relationship.
We analyze ESG-based investments in stocks across 23 developed markets using daily data from 2004 to 2022. The findings suggest a weak relationship between the ESG ratings and expected returns, with some evidence of modest underperformance of high ESG stocks compared to lower-rated ones in specific periods. This outcome indicates that stock prices have already reflected ESG information, and well-known asset pricing factors can effectively capture the returns of portfolios based on ESG ratings. However, the strength of this relationship depends on global attention to sustainability, where high ESG-rated stocks tend to gain advantages during unexpected attention increases, highlighting the dynamic, nonlinear nature of this relationship.
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