1383. ESG Business Diversification and Investment Performance
Invited abstract in session MD-9: Green Investment on Capital Market, stream OR in Finance and Insurance .
Monday, 14:30-16:00Room: Clarendon SR 2.01
Authors (first author is the speaker)
| 1. | Rei Yamamoto
|
| Keio University | |
| 2. | Akifumi Isogai
|
| Mitsubishi UFJ Trust Investment Technology Institute, Co. Ltd. | |
| 3. | Masatoshi Nozaki
|
| Mitsubishi UFJ Trust Investment Technology Institute, Co. Ltd. |
Abstract
ESG investment has attracted attention in recent years, but various problems have been pointed out with the ESG scores. We focus on ESG revenue data −an alternative data that has become available in recent years− and discuss its potential to solve the problem of the ESG scores. We propose ESG business diversification as a new ESG investment measure to evaluate the proactivity of ESG activities and verify its effectiveness in the US and European markets. The results show that portfolios with high ESG business diversification achieve higher returns that cannot be explained by standard risk factors in the US market.
Keywords
- Finance and Banking
Status: accepted
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