For whom does it pay to be a moral capitalist? Sustainability of corporate financial performance of ESG investment

PLoS One. 2023 May 1;18(5):e0285027. doi: 10.1371/journal.pone.0285027. eCollection 2023.

Abstract

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.

Publication types

  • Research Support, Non-U.S. Gov't

MeSH terms

  • Canada
  • China
  • Investments*
  • Morals
  • Organizations*

Grants and funding

The authors received no specific funding for this work.