 The environmental pillar of ESG and financial performance: A portfolio analysisElettra Agliardi, Thomas Alexopoulos and Kleanthis Karvelas Energy Economics, 2023, vol. 120, issue C Abstract: Our research uses the environmental pillar of ESG as a proxy for environmental corporate social responsibility. We examine the performance of environmentally clustered portfolios by using simple quantitative investment strategies with optimum asset rotation. Post-hoc, sample-split analysis with non-parametric tests is performed. The results suggest that both environmental status and dynamic environmental performance are key characteristics of divergent financial behaviors. We show that environmentally low-rated companies present better financial performance, while environmental leaders are less risky and show more resilience. Assets with a dynamic environmental profile outperform on average in terms of returns and risk. Furthermore, supporting evidence of positive spillovers in high-rated environmental clusters is identified after the Paris Agreement. We evaluate the resilience of the environmental clusters during the COVID-19 crisis and the Russia-Ukraine war effect. Keywords: Corporate environmental responsibility; ESG; Portfolio rebalancing; ART Anova; Post-hoc analysis; Paris agreement; COVID-19 crisis; Russia-Ukraine war effect (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000968 DOI: 10.1016/j.eneco.2023.106598 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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