Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 16, 2022 erstellt
Beschreibung:
Socially-responsible investment mandates can cost nothing. Optimal systematic portfolios, using many approaches and rich information in asset characteristics, can be tilted to achieve ESG investing goals with negligible effects on performance. Nonetheless, strategies based on ESG-based mispricing can be profitable if we pool information across ESG information or use specific environmental criteria. Our evidence is inconsistent with ESG measures conveying novel information about systematic risk; but it is consistent with investors placing significant weight on certain ESG subcomponent information, and with ESG-driven mispricing having occurred