Is Incorporating ESG Considerations Costly?
提出一种新方法，准确衡量股票中ESG带来的收益溢价，发现过去十年美国和欧洲的ESG溢价为正，且ESG动量有独立的正面收益效应，两者互补，投资者可用此方法构建组合获取纯ESG收益。
A common approach to measuring the effect of ESG (or ESG premium) in equities is to use the difference between a broad index and its ESG version. This approach, however, does not control for mismatches in systematic risk exposures and sector weights that can contaminate the results between the two indexes. The authors introduce a new approach that accurately measures ESG return premium in equities and find that in the past decade it was positive in both the United States and Europe. The authors also identify a positive and distinct return effect from ESG momentum and show that both effects are complementary. They also discuss how investors could use this approach to construct portfolios to harvest pure ESG returns.