ESG offers a source of new and potentially valuable information for investors, impacting both potential returns and risk. Growing data availability has created the opportunity to integrate ESG into equity portfolios for a variety of investment processes, for both indexing and active management....

This article proposes a straightforward measure of the residual unsystematic risk that a selective portfolio investment strategy, such as socially responsible investment, eventually bears. The model is empirically employed in order to analyse whether the MSCI socially responsible indices bear...

A large body of research has documented a positive relationship between different measures of sustainability — such as indicators of employee satisfaction and effective corporate governance — and corporate financial performance. Nevertheless, many investors still struggle to quantify the...

In this study, we unpack the ESG ratings of four prominent agencies in Europe and find that (i) each single E, S, G pillar explains the overall ESG score differently, (ii) there is a low co-movement between the three E, S, G pillars and (iii) there are specific ESG Key Performance Indicators...