Influence of social sustainable development goals sentiment on listed companies

This study contributes to forecasting financial time series, focusing on the social Sustainable Development Goals (SDGs) to enhance investment strategies. By analyzing stock portfolios across the United States, Europe, and Vietnam, we explore whether companies with strong social commitments are rewarded in the stock market. Our conservative approach, which involves systematic portfolio rebalancing, ensures a thorough examination of the relationship between social responsibility and financial performance, contributing valuable insights to sustainable finance. Our findings reveal that long portfolios, particularly those based on social SDGs, consistently outperform traditional benchmarks. This outperformance is especially pronounced in the European and Vietnamese markets. In contrast, the U.S. market shows less pronounced gain. A standout result is observed in the Vietnamese market, where portfolios focused on the ’Gender Equality’ SDG exhibit notably low drawdowns, suggesting greater stability and resilience. Additionally, market-neutral portfolios, which balance long positions against index benchmarks, perform exceptionally well in Vietnam, reflecting the unique dynamics of this market and its growing emphasis on social responsibility. These results highlight the dual benefits of social SDG-based portfolio management in achieving both financial outperformance and positive social impact.