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

Resumen:

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. 

Palabras Clave: ESG investing; governance; sustainability; volatility; excess returns

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

Publicado en papel: Octubre 2021.

Publicado on-line: Septiembre 2021.

Cita:
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, Octubre 2021. [Online: Septiembre 2021]