Source of Publication
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.
Public Library of Science (PLoS)
ESG investment, sustainability, financial performance, risk-return characteristics, Sharpe ratio analysis
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Gubareva, Mariya; Umar, Zaghum; Sokolova, Tatiana; and Antonyuk, Valentina, "For whom does it pay to be a moral capitalist? Sustainability of corporate financial performance of ESG investment" (2023). All Works. 5859.
Indexed in Scopus
Open Access Type
Gold: This publication is openly available in an open access journal/series