Does the inclusion of ESG criteria in stock selection improve the performance of portfolios in the European market?

  • Estibaliz Aldekoa Urieta University of Deusto, Spain
  • Gonzalo Bonilla Astigarraga University of Deusto, Spain
  • María Eizaguirre Berasategui University of Deusto, Spain
  • Andrea Urrutxua Azua University of Deusto, Spain
  • Lidia Lobán Acero University of Deusto. IEDIS, Spain
DOI: https://doi.org/10.18543/bee.2429
Keywords: portfolio, performance, Fama and French factors, Factor investing, ASG, ESG

Abstract

This paper analyse whether the inclusion of ES G criteria in the process to create investment portfolios has a significant impact in their performance. We apply the Factor investing methodology following Fama and French (2015). Our sample covers from January 2008 to December 2021. Our results show a neutral effect in the performance with complementary signal depends on the economic cycle.

Received: 11 septiembre 2022
Accepted: 26 septiembre 2022

References

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Published
2023-03-20
How to Cite
Aldekoa Urieta, Estibaliz, Gonzalo Bonilla Astigarraga, María Eizaguirre Berasategui, Andrea Urrutxua Azua, and Lidia Lobán Acero. 2023. “Does the Inclusion of ESG Criteria in Stock Selection Improve the Performance of Portfolios in the European Market?”. Bulletin of Economic Studies 77 (233), 85-95. https://doi.org/10.18543/bee.2429.
Issue
Vol. 77 No. 233 (2022): Making the ESG revolution a reality
Section
Articles

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