“We document statistically significant excess returns in ESG portfolios from 2014 to 2020 in the U.S. 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.”
[COMMENTARY] This paper is worthwhile reading for anyone engaged in ESG investing.
Quantifying the Returns of ESG Investing: An Empirical Analysis with Six ESG Metrics, by Florian Berg (MIT), Andrew W. Lo (MIT), Roberto Rigobon (MIT), Manish Singh (MIT), and Ruixun Zhang (Peking University), March 3, 2023, SSRN paper.
For a relatively easy read of this paper go to Here’s Proof That ESG Can Improve Returns — If It’s Done Right, by Hannah Zhang, March 14, 2023, Institutional Investor, USA.