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ESG investment performance and global attention to sustainability

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  • Vu, Thanh Nam
  • Lehkonen, Heikki
  • Junttila, Juha-Pekka
  • Lucey, Brian

Abstract

We analyze ESG-based investments in stocks across 23 developed markets using daily data from 2004 to 2022. The findings suggest a weak relationship between the ESG ratings and expected returns, with some evidence of modest underperformance of high ESG stocks compared to lower-rated ones in specific periods. This outcome indicates that stock prices have already reflected ESG information, and well-known asset pricing factors can effectively capture the returns of portfolios based on ESG ratings. However, the strength of this relationship depends on global attention to sustainability, where high ESG-rated stocks tend to gain advantages during unexpected attention increases, highlighting the dynamic, nonlinear nature of this relationship.

Suggested Citation

  • Vu, Thanh Nam & Lehkonen, Heikki & Junttila, Juha-Pekka & Lucey, Brian, 2025. "ESG investment performance and global attention to sustainability," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
    • Handle: RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002122
    DOI: 10.1016/j.najef.2024.102287
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    1. Vu, Thanh Nam, 2025. "ESG performance and sustainability concerns exposure," Finance Research Letters, Elsevier, vol. 71(C).

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    More about this item

    Keywords

    ESG; Sustainable investing; Investment performance; Market attention;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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