Deconstructing ESG Ratings Performance: Risk and Return for E, S, and G by Time Horizon, Sector, and Weighting

• Published in: Journal of portfolio management Vol. 47; no. 3; pp. 94 - 111
• Main Authors: Giese, Guido, Nagy, Zoltán, Lee, Linda-Eling
• Format: Journal Article
• Language: English
• Published: London Pageant Media 01.02.2021
• Subjects: Carbon; Financial analysis; Incentive plans; Ratings & rankings; Social investing; Valuation; Volatility

There are many ways to construct a company’s environmental, social, and governance (ESG) score or rating, involving different combinations of financial and nonfinancial inputs. Determining the most influential criteria for firm performance may be overlooked in the rush to “do some ESG.” In this stud...