“This article examines the impact of ESG risk on US stocks through the lens of Sustainalytics’ ESG risk-rating measure over the past decade… stocks with low ESG risk ratings… not only have higher realized returns but also provide better tail-risk protection than stocks with high ESG risk ratings… especially during the COVID-19 crisis.”

The Impact of ESG Risk on Stocks, by James X. Xiong, January 2024, Morningstar Investment Management, USA.