The impact of ESG tilting on the performance of stock portfolios in times of crisis

Emanuele Teti, Maurizio Dallocchio and Giulio L'Erario

Finance Research Letters, 2023, vol. 52, issue C

Abstract: This paper investigates whether there exists a clear relationship between ESG indicators and financial performance with specific reference to the CoVid-19 crisis and to discover what are, if any, the key takeaways for issuers that emerge from such relationship. To assess this connection, we carried out an ESG scores based long-short portfolio analysis in the spirit of Fama and French (1992) on the European market in the period 2016‒2021. The results indicate that there is robust evidence that the bottom decile portfolio provides negative alphas and some weak evidence that the long-short portfolio provides some positive abnormal returns compared to all three most prominent asset pricing models (CAPM, Fama-French three-factor model and Fama-French five-factor model).

Keywords: ESG; Performance; Portfolios; Shareholders; Stakeholders (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006985

DOI: 10.1016/j.frl.2022.103522

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