A factor approach to the performance of ESG leaders and laggards
نویسندگان
چکیده
We introduce a factor approach to performance measurement of global ESG equity investments. construct pure portfolios (PFP) following Fama-MacBeth; then, applying Fama-French (FF) spanning regressions that simultaneously test and the validity adding new factors FF 5-factor model. To address endogeneity, we use GMM-IV estimator. Our do not generate significant alphas during 2015-2019, corroborating literature's neutrality argument. find no sufficient evidence for complement FF5. PFPs, nevertheless, may serve as indices quantify investment portfolio sustainability risks via attribution tilt.
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2022
ISSN: ['1544-6131', '1544-6123']
DOI: https://doi.org/10.1016/j.frl.2021.102073