Individual environmental variables may contain information obscured in aggregate environmental scores for return forecasting. We apply machine learning methods to granular environmental variables and find that a long-short portfolio that longs stocks with high forecasted returns and sells stocks...

Individual environmental variables may contain information that is obscured in aggregate environmental scores when forecasting future stock returns. We apply machinelearning methods to granular environmental variables and show that a long-short portfolio that longs stocks with high forecasted...