This paper analyzes the risk-return characteristics of socially responsible investing by employing a time-varying capital gain and Sharpe ratio analysis for various investment horizons. We employ the MSCI ESG (environmental, social and governance) leaders indices in ten markets encompassing Australia, Canada, Europe, Japan, UK, USA, China, India, Russia, and South Africa. Our sample ranges from 2007-2020. We document that ESG investments have very desirable return and hedging attributes for investors in these markets, and especially so in the USA and emerging markets.
Copyright: © 2023 Gubareva et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.