Did ESG portfolio augment investors’ wealth during Covid19? Evidence from Indian stock market

Kirti Sood, Kumar Arijit, Prachi Pathak and H.C. Purohit

Sustainability Accounting, Management and Policy Journal, 2022, vol. 14, issue 5, 922-944

Abstract: Purpose - This paper aims to empirically examine the performance of the high-ESG (environment, social and governance) portfoliovis-à-visthe low-ESG portfolio at the Indian stock market before and during the Covid19 pandemic. Design/methodology/approach - The absolute rate of return and several risk-adjusted performance measures, for instance, Sharpe ratio, Modigliani–Modigliani measure, Treynor ratio, Jensen’s alpha, information ratio, Fama’s decomposition measure and Fama and French’s three-factor model, have been used in this study along with thet-test. Findings - All three indices (CARBONEX, GREENEX and BSE 500) had better returns during Covid19 period as compared to the pre-Covid19 period. However, these returns were not statistically significant. During Covid19, the risk of the indices also rose, but they provided better returns for the additional risk taken. Finally, it is concluded that the performance of high-ESG and low-ESG stock portfolios did not differ significantly in both periods. Practical implications - The study is relevant to individual and institutional investors, financial advisors, portfolio managers, corporations, policymakers, market regulators and society at large. Social implications - This study emphasized the need to expand the role of ESG investment in India for the benefit of people, communities and society as a whole. Originality/value - This research is the first of its kind, to the best of the authors’ knowledge, that compares the performance of a high-ESG portfolio with a low-ESG portfolio both before and during the Covid19, particularly in the Indian context.

Keywords: High-ESG portfolio; Low-ESG portfolio; Covid19; Stock market; Environmental issues; Social dimensions; Corporate governance; Carbonex; Greenex; Three-factor model; Portfolio performance; ESG investing (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:sampjp:sampj-02-2022-0087

DOI: 10.1108/SAMPJ-02-2022-0087

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