The performance of ESG portfolios: A stochastic dominance approach

Zihan Zhou, Shaolin Wang and Hongxia Wang

Finance Research Letters, 2025, vol. 72, issue C

Abstract: This study uses a stochastic dominance approach to investigate portfolio performance based on Environmental, Social and Governance (ESG) criteria. Specifically, we conduct a series of stochastic dominance tests to determine whether high-ESG portfolios outperform low-ESG and market portfolios. The results reveal that, in the short term, no significant dominance relationships exist between high- and low-ESG portfolios. However, in the long term, high-ESG portfolios significantly dominate both low-ESG and market portfolios in terms of second- and third-degree stochastic dominance. Our findings offer valuable insights into integrating ESG considerations into investment decisions.

Keywords: ESG portfolios; Stochastic dominance; Market portfolio; Risk aversion (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612324016301
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324016301

DOI: 10.1016/j.frl.2024.106601

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().