Open Access

The Effect of ESG Scores on Portfolio Performance. Evidence from Europe


Cite

Aboud, A., & Diab, A. (2019). The financial and market consequences of environmental, social and governance ratings: The implications of recent political volatility in Egypt. Sustainability Accounting, Management and Policy Journal. Search in Google Scholar

Bodhanwala, S., & Bodhanwala, R. (2019). Relationship between sustainable and responsible investing and returns: a global evidence. Social Responsibility Journal, 16(4), 579-594. Search in Google Scholar

Díaz, V., Ibrushi, D., & Zhao, J. (2021). Reconsidering systematic factors during the COVID-19 pandemic–The rising importance of ESG. Finance Research Letters, 38. Search in Google Scholar

Fama, E. F., & French, K. R. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Economics, 1-22. Search in Google Scholar

Fatemi, A., Glaum, M., & Kaiser, S. (2018). ESG performance and firm value: The moderating role of disclosure. Global finance journal, 38, 45-64. Search in Google Scholar

Ferrell, A., Liang, H., & Renneboog, L. (2016). Socially responsible firms. Journal of Financial Economics, 122(3), 585-606. Search in Google Scholar

Gao, L., & Zhang, J. H. (2015). Firms’ earnings smoothing, corporate social responsibility, and valuation. Journal of Corporate Finance, 32, 108-127. Search in Google Scholar

Goyal, M.M., & Aggarwal, K. (2014). ESG index is Good for Socially Responsible Investor in India. Asian Journal of Multidisciplinary Studies, 2(11), 92-96. Search in Google Scholar

Hong, H., & Kacperczyk, M. (2009). The price of sin: The effects of social norms on markets. Journal of financial economics, 93(1), 15-36. Search in Google Scholar

Kempf, A., & Osthoff, P. (2007). The Effect of Socially Responsible Investing on Portfolio Performance. European Financial Management, 908-922. Search in Google Scholar

Kumar, N.C.A., Smith, C., Badis, L., Wang, N., Ambrosy, P., & Tavares, R. (2016). ESG factors and risk-adjusted performance: a new quantitative model. Journal of sustainable finance & investment, 6(4), 292-300. Search in Google Scholar

Liu, P., Zhu, B., Yang, M., & Chu, X. (2022). ESG and financial performance: A qualitative comparative analysis in China's new energy companies. Journal of Cleaner Production, 379. Search in Google Scholar

Luo, D. (2022). ESG, liquidity, and stock returns. Journal of International Financial Markets, Institutions and Money, 78. Search in Google Scholar

Newey, W.K., & West, K.D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703-708. Search in Google Scholar

Statman, M. (2006). Socially responsible indexes. The Journal of Portfolio Management, 32(3), 100-109. Search in Google Scholar

Statman, M., & Glushkov, D. (2009). The Wages of Social Responsibility. Financial Analysts Journal, 65(4), 33-46. Search in Google Scholar

Zehir, E., & Aybars, A. (2020). Is there any effect of ESG scores on portfolio performance? Evidence from Europe and Turkey. Journal of Capital Markets Studies, 4(2), 129-143. Search in Google Scholar

Wong, W. C., Batten, J. A., Mohamed-Arshad, S. B., Nordin, S., & Adzis, A. A. (2021). Does ESG certification add firm value?. Finance Research Letters, 39. Search in Google Scholar

eISSN:
2558-9652
Language:
English