Quantifying the Returns of ESG Investing: An Empirical Analysis with Six ESG Metrics
研究使用六大ESG评级机构数据，在美国、欧洲和日本市场构建投资组合，发现2014至2020年美国和日本的ESG组合有统计显著的超额收益，且聚合评级和Treynor-Black权重能进一步提升表现。
Within the contemporary context of environmental, social, and governance (ESG) investing principles, the authors explore the risk–reward characteristics of portfolios in the United States, Europe, and Japan constructed using the foundational tenets of Markowitz’s modern portfolio theory with data from six major ESG rating agencies. They document statistically significant excess returns in ESG portfolios from 2014 to 2020 in the United States and Japan. They propose several statistical and voting-based methods to aggregate individual ESG ratings, the latter based on the theory of social choice. They find that aggregating individual ESG ratings improves portfolio performance. In addition, the authors find that a portfolio based on Treynor–Black weights further improves the performance of ESG portfolios. Overall, these results suggest that significant signals in ESG rating scores can enhance portfolio construction despite their noisy nature.