ESG: The Relationship Between “Ethical” Investing and Abnormal Returns
This essay examines the relationship between ESG and abnormal returns and its implications on investing. To investigate this topic, I allocate stocks into zero-investment portfolios based on high and low ESG, using three different weighting methods, equal weighting, value weighting and portfolio optimization. The portfolios are then evaluated using the CAPM as well as the Fama-French three-factor
