ESG Disclosure and Portfolio Performance

Ramón Bermejo Climent, Isabel Figuerola-Ferretti Garrigues, Ioannis Paraskevopoulos and Alvaro Santos
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Ramón Bermejo Climent: Faculty of Economics and Business Administration (ICADE), Universidad Pontificia Comillas, C/Alberto Aguilera, 23, 28015 Madrid, Spain
Isabel Figuerola-Ferretti Garrigues: Faculty of Economics and Business Administration (ICADE), Universidad Pontificia Comillas, C/Alberto Aguilera, 23, 28015 Madrid, Spain
Ioannis Paraskevopoulos: Faculty of Economics and Business Administration (ICADE), Universidad Pontificia Comillas, C/Alberto Aguilera, 23, 28015 Madrid, Spain
Alvaro Santos: Faculty of Economics and Business Administration (ICADE), Universidad Pontificia Comillas, C/Alberto Aguilera, 23, 28015 Madrid, Spain

Risks, 2021, vol. 9, issue 10, 1-14

Abstract: This paper illustrates the impact of Environmental Social and Governance (ESG) disclosure on European corporate equity performance. In this study, we use an extensive data set of European ESG ratings provided by Bloomberg to demonstrate that ESG disclosure is associated with improved return growth, with the Governance pillar exhibiting the strongest effect on corporate performance. The impact of ESG disclosure on volatility is changing over time, suggesting that the existence of opaque ratings limits the transmission of information disclosure into corporate performance.

Keywords: ESG investing; governance; sustainability; volatility; excess returns (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:9:y:2021:i:10:p:172-:d:641841

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