ESG investing in good and bad times: An international study

Huaigang Long, Mardy Chiah, Nusret Cakici, Adam Zaremba and Mehmet Bilgin

Journal of International Financial Markets, Institutions and Money, 2024, vol. 91, issue C

Abstract: If the demand for socially responsible stocks depends on aggregate wealth, their returns may rise when the economy is booming and fall when it is struggling. Motivated by the consistent evidence from the United States, we revisit this effect internationally. Using data from 45 markets, we examine how the economic conditions affect environmental, social, and governance (ESG) strategies. We find that high-rated ESG firms fail to outperform their low-rated counterparts in good and bad times alike. The abnormal returns on ESG strategies do not reliably differ across economic states. Previous contrasting evidence does not generalize internationally and is likely sample- and period-specific.

Keywords: Socially responsible investing; Environmental, social, and governance ratings; ESG strategies; International stock markets; Conditional returns; Economic states; Return predictability (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 M14 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001841

DOI: 10.1016/j.intfin.2023.101916

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