{"title":"The performance of ESG portfolios: A stochastic dominance approach","authors":"Zihan Zhou, Shaolin Wang, Hongxia Wang","doi":"10.1016/j.frl.2024.106601","DOIUrl":null,"url":null,"abstract":"This study uses a stochastic dominance approach to investigate portfolio performance based on Environmental, Social and Governance (ESG) criteria. Specifically, we conduct a series of stochastic dominance tests to determine whether high-ESG portfolios outperform low-ESG and market portfolios. The results reveal that, in the short term, no significant dominance relationships exist between high- and low-ESG portfolios. However, in the long term, high-ESG portfolios significantly dominate both low-ESG and market portfolios in terms of second- and third-degree stochastic dominance. Our findings offer valuable insights into integrating ESG considerations into investment decisions.","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"228 1","pages":""},"PeriodicalIF":7.4000,"publicationDate":"2024-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1016/j.frl.2024.106601","RegionNum":2,"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
This study uses a stochastic dominance approach to investigate portfolio performance based on Environmental, Social and Governance (ESG) criteria. Specifically, we conduct a series of stochastic dominance tests to determine whether high-ESG portfolios outperform low-ESG and market portfolios. The results reveal that, in the short term, no significant dominance relationships exist between high- and low-ESG portfolios. However, in the long term, high-ESG portfolios significantly dominate both low-ESG and market portfolios in terms of second- and third-degree stochastic dominance. Our findings offer valuable insights into integrating ESG considerations into investment decisions.
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