Public Sentiment and the Price of Corporate Sustainability

Financial Analysts Journal, 76 (2): 26-46.

56 Pages Posted: 19 Oct 2018 Last revised: 16 Apr 2020

Date Written: October 12, 2018


Combining corporate sustainability performance scores based on environmental, social and governance (ESG) data with big data measuring public sentiment about a company’s sustainability performance, I find that the valuation premium paid for companies with strong sustainability performance has increased over time and that the premium is increasing as a function of positive public sentiment momentum. An ESG factor going long on firms with superior or increasing sustainability performance and negative sentiment momentum and short on firms with inferior or decreasing sustainability performance and positive sentiment momentum delivers significant positive alpha. This low sentiment ESG factor is uncorrelated with other factors, such as value, momentum, size, profitability and investment. In contrast, the high sentiment ESG factor delivers insignificant alpha and is strongly negatively correlated with the value factor. The evidence suggests that public sentiment influences investor views about the value of corporate sustainability activities and thereby both the price paid for corporate sustainability and the investment returns of portfolios that consider ESG data.

Keywords: corporate sustainability, ESG metrics, public sentiment, corporate valuation, investment management

JEL Classification: M4, G14, M2, G12

Suggested Citation

Serafeim, George, Public Sentiment and the Price of Corporate Sustainability (October 12, 2018). Financial Analysts Journal, 76 (2): 26-46., Available at SSRN: or

George Serafeim (Contact Author)

Harvard Business School ( email )

Boston, MA 02163
United States


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