Original paper
Responsible investing: The ESG-efficient frontier
Abstract
We propose a theory in which each stock's environmental, social, and governance (ESG) score plays two roles: (1) providing information about firm fundamentals and (2) affecting investor preferences. The solution to the investor's portfolio problem is characterized by an ESG-efficient frontier, showing the highest attainable Sharpe ratio for each ESG level. The corresponding portfolios satisfy four-fund separation. Equilibrium asset prices are...
Paper Details
Title
Responsible investing: The ESG-efficient frontier
Published Date
Nov 9, 2020
Volume
142
Issue
2
Pages
572 - 597
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