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Did ESG portfolio augment investors’ wealth during Covid19? Evidence from Indian stock market

Author

Listed:
  • Kirti Sood
  • Kumar Arijit
  • Prachi Pathak
  • H.C. Purohit

Abstract

Purpose - This paper aims to empirically examine the performance of the high-ESG (environment, social and governance) portfoliovis-à-visthe low-ESG portfolio at the Indian stock market before and during the Covid19 pandemic. Design/methodology/approach - The absolute rate of return and several risk-adjusted performance measures, for instance, Sharpe ratio, Modigliani–Modigliani measure, Treynor ratio, Jensen’s alpha, information ratio, Fama’s decomposition measure and Fama and French’s three-factor model, have been used in this study along with thet-test. Findings - All three indices (CARBONEX, GREENEX and BSE 500) had better returns during Covid19 period as compared to the pre-Covid19 period. However, these returns were not statistically significant. During Covid19, the risk of the indices also rose, but they provided better returns for the additional risk taken. Finally, it is concluded that the performance of high-ESG and low-ESG stock portfolios did not differ significantly in both periods. Practical implications - The study is relevant to individual and institutional investors, financial advisors, portfolio managers, corporations, policymakers, market regulators and society at large. Social implications - This study emphasized the need to expand the role of ESG investment in India for the benefit of people, communities and society as a whole. Originality/value - This research is the first of its kind, to the best of the authors’ knowledge, that compares the performance of a high-ESG portfolio with a low-ESG portfolio both before and during the Covid19, particularly in the Indian context.

Suggested Citation

  • Kirti Sood & Kumar Arijit & Prachi Pathak & H.C. Purohit, 2022. "Did ESG portfolio augment investors’ wealth during Covid19? Evidence from Indian stock market," Sustainability Accounting, Management and Policy Journal, Emerald Group Publishing Limited, vol. 14(5), pages 922-944, December.
    • Handle: RePEc:eme:sampjp:sampj-02-2022-0087
    DOI: 10.1108/SAMPJ-02-2022-0087
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    Cited by:

    1. Diana-Mihaela SANDU, 2024. "ESG risk rating disagreement: implications on portfolio performance," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(638), S), pages 161-168, Spring.

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