The Environmental Pillar of ESG and Financial Performance : A Portfolio Analysis

Our research uses the environmental pillar of ESG as a proxy for environmental corporate social responsibility. We examine the performance of environmentally clustered portfolios, by using simple quantitative investment strategies with optimum asset rotation. A post-hoc, sample-split analysis with non-parametric tests is performed. The results suggest that environmental status is a key characteristic for divergent financial behaviours and that neither the environmental leaders nor the laggards earn the most. Furthermore, supporting evidence of positive spillovers in high environmental clusters is identified after the Paris Agreement