ESG Investment Performance : Evidence from Global Markets
We examine ESG-based investment performance in 48 countries using data from two providers: MSCI ESG IVA and Refinitiv ASSET4. Developed markets’ high ESG-rated portfolios underperform compared to low-rated portfolios, in line with investors’ demands for higher returns as compensation for exposure to ESG-related risk or investors’ non-pecuniary motives. Positive abnormal returns are observed for both high and low ESG-rated portfolios in emerging markets for 2016–2020, indicating potential for using ESG information in these markets. We highlight discrepancies in the firm-level information reflected in ESG metrics from different data sources, which may yield different outcomes when integrated into investment decisions