Research | Toward ESG alpha: Analyzing ESG exposures through a factor lens
Toward ESG alpha: Analyzing ESG exposures through a factor lens

Toward ESG alpha: Analyzing ESG exposures through a factor lens

26 October 2020

This paper investigates the relationship between environmental, social and governance (ESG) exposures and factor returns for 1,312 US equity mutual funds. The study suggests that factor tilts, rather than pure ESG considerations, drive factor returns. ESG components unrelated to factors carry insignificant excess return premiums that are economically small.

 

Please login or join for free to read more.