{"title":"Can we enhance investment with ESG?","authors":"Wanling Rudkin , Charlie X. Cai , You Zhou","doi":"10.1016/j.irfa.2024.103776","DOIUrl":null,"url":null,"abstract":"<div><div>Given evidence of low abnormal returns to ESG stock investment, growth in ESG focused stock investment suggests a wider utility from holding higher ESG performance stocks. We add detail and granularity through a double-sorted portfolio approach across two ESG measures and 24 anomalies. Traditional anomaly factor sort strategies may be enhanced by ESG information to produce an annualised ESG tilted alpha of more than 6% and provide an up to 7% alpha gain over the unconditional factor sort strategy. Investors using our strategies may increase ESG exposure and gain abnormal return with no alpha cost relative to traditional factor investing.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"97 ","pages":"Article 103776"},"PeriodicalIF":7.5000,"publicationDate":"2024-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521924007087","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
Given evidence of low abnormal returns to ESG stock investment, growth in ESG focused stock investment suggests a wider utility from holding higher ESG performance stocks. We add detail and granularity through a double-sorted portfolio approach across two ESG measures and 24 anomalies. Traditional anomaly factor sort strategies may be enhanced by ESG information to produce an annualised ESG tilted alpha of more than 6% and provide an up to 7% alpha gain over the unconditional factor sort strategy. Investors using our strategies may increase ESG exposure and gain abnormal return with no alpha cost relative to traditional factor investing.
期刊介绍：
The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.
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