Performance Assessment of Firms Following Sustainalytics ESG Principles
The Journal of Investing, Forthcoming
27 Pages Posted: 5 Feb 2019 Last revised: 22 Jul 2019
Date Written: January 1, 2019
Do highly rated ESG firms actually provide alpha opportunities for portfolios? This type of investing is not new, but has historically been much more qualitative in nature. Sustainalytics, one of the largest agencies in the space, recently partnered with Morningstar Inc., which brought their proprietary rating system to the individual investor. We examine whether Sustainalytics ESG ratings (both the level and change) have an impact on future stock performance relative to a broad index like the S&P 500.
Keywords: Esg Investing, Performance Measurement, Asset Pricing, Sustainalytics, Socially Responsible Investing, Environment, Social, Governance
JEL Classification: G11, G12, G14, G39
Suggested Citation: Suggested Citation