ESG disclosure and portfolio performance

R. Bermejo, I. Figuerola-Ferretti Garrigues, I. Paraskevopoulos, A. Santos

Risks Vol. 9, nº. 10, pp. 172-1 - 172-14

Summary:

This paper illustrates the impact of Environmental Social and Governance (ESG) disclosure on European corporate equity performance. In this study, we use an extensive data set of European ESG ratings provided by Bloomberg to demonstrate that ESG disclosure is associated with improved return growth, with the Governance pillar exhibiting the strongest effect on corporate performance. The impact of ESG disclosure on volatility is changing over time, suggesting that the existence of opaque ratings limits the transmission of information disclosure into corporate performance. 

Keywords: ESG investing; governance; sustainability; volatility; excess returns

DOI reference: https://doi.org/10.3390/risks9100172

Published on paper: October 2021.

Published on-line: September 2021.

Citation:
R. Bermejo, I. Figuerola-Ferretti Garrigues, I. Paraskevopoulos, A. Santos, ESG disclosure and portfolio performance. Risks. Vol. 9, nº. 10, pp. 172-1 - 172-14, October 2021. [Online: September 2021]