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The impact of ESG tilting on the performance of stock portfolios in times of crisis

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  • Teti, Emanuele
  • Dallocchio, Maurizio
  • L'Erario, Giulio

Abstract

This paper investigates whether there exists a clear relationship between ESG indicators and financial performance with specific reference to the CoVid-19 crisis and to discover what are, if any, the key takeaways for issuers that emerge from such relationship. To assess this connection, we carried out an ESG scores based long-short portfolio analysis in the spirit of Fama and French (1992) on the European market in the period 2016‒2021. The results indicate that there is robust evidence that the bottom decile portfolio provides negative alphas and some weak evidence that the long-short portfolio provides some positive abnormal returns compared to all three most prominent asset pricing models (CAPM, Fama-French three-factor model and Fama-French five-factor model).

Suggested Citation

  • Teti, Emanuele & Dallocchio, Maurizio & L'Erario, Giulio, 2023. "The impact of ESG tilting on the performance of stock portfolios in times of crisis," Finance Research Letters, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006985
    DOI: 10.1016/j.frl.2022.103522
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    References listed on IDEAS

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