Performance Assessment of Firms Following Sustainalytics ESG Principles

The Journal of Investing, Forthcoming

27 Pages Posted: 5 Feb 2019 Last revised: 22 Jul 2019

See all articles by Aaron Filbeck

Aaron Filbeck

CAIA Association

Greg Filbeck

Pennsylvania State University

Xin Zhao

Pennsylvania State University (Erie) - The Behrend College

Date Written: January 1, 2019

Abstract

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

Filbeck, Aaron and Filbeck, Greg and Zhao, Xin Jessica, Performance Assessment of Firms Following Sustainalytics ESG Principles (January 1, 2019). The Journal of Investing, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3317490

Aaron Filbeck (Contact Author)

CAIA Association ( email )

100 University Drive
Amherst, MA 01002
United States

HOME PAGE: http://www.caia.org

Greg Filbeck

Pennsylvania State University ( email )

286 Burke
Erie, PA 16563
United States

Xin Jessica Zhao

Pennsylvania State University (Erie) - The Behrend College ( email )

286 Burke
Erie, PA 16563-1400
United States

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