New empirical evidence for popularity in company ESG data

New empirical evidence for popularity in company ESG data

ESG awareness among both professional and retail investors has seen an increase in the last two decades. A large part of the literature finds that investing in companies with a high ESG score comes at a cost. We study to what extent company ESG data is consistent with the popularity framework, which...

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Hauptverfasser: Manojlovic, Nikola, Tjessem, Kristian
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creator Manojlovic, Nikola
Tjessem, Kristian
description ESG awareness among both professional and retail investors has seen an increase in the last two decades. A large part of the literature finds that investing in companies with a high ESG score comes at a cost. We study to what extent company ESG data is consistent with the popularity framework, which claims that assets with preferences investors find popular demand a higher premium. 5917 global stocks were sorted into four quantiles based on their ESG scores. Backtesting was performed on these quantiles from 2003-2019. Analysis on global economic sectors and country specific ESG was also peformed. Overall we conclude that a company's ESG score is consistent with the popularity framework. The study shows that the least popular quantile, apart from a few minor cases, achieves superior returns when compared to the most popular quantile.
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title New empirical evidence for popularity in company ESG data
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