ESG investment performance and global attention to sustainability
| dc.contributor.author | Vu, Thanh Nam | |
| dc.contributor.author | Lehkonen, Heikki | |
| dc.contributor.author | Junttila, Juha-Pekka | |
| dc.contributor.author | Lucey, Brian | |
| dc.date.accessioned | 2025-07-21T11:16:14Z | |
| dc.date.available | 2025-07-21T11:16:14Z | |
| dc.date.issued | 2025-01 | |
| dc.description.abstract | We analyze ESG-based investments in stocks across 23 developed markets using daily data from 2004 to 2022. The findings suggest a weak relationship between the ESG ratings and expected returns, with some evidence of modest underperformance of high ESG stocks compared to lower-rated ones in specific periods. This outcome indicates that stock prices have already reflected ESG information, and well-known asset pricing factors can effectively capture the returns of portfolios based on ESG ratings. However, the strength of this relationship depends on global attention to sustainability, where high ESG-rated stocks tend to gain advantages during unexpected attention increases, highlighting the dynamic, nonlinear nature of this relationship. Keywords ESG, Investment performance, Market attention, Sustainable investing | |
| dc.identifier.citation | Vu, T. N., Lehkonen, H., Junttila, J. P., & Lucey, B. (2025). ESG investment performance and global attention to sustainability. The North American Journal of Economics and Finance, 75, 102287. | |
| dc.identifier.doi | https://doi.org/10.1016/j.najef.2024.102287 | |
| dc.identifier.uri | https://repository.adu.ac.ae/handle/1/7313 | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.title | ESG investment performance and global attention to sustainability | |
| dc.type | Article |