Studies show the inconclusive results regarding the relation between corporate social and environmental responsibility (CSR and CER) and expected returns. We argue that the reason for these mixed results is that the sustainability premium (i.e., the return difference of high-intensity minus...

We identify the characteristics and specifications that drive the out-of-sample performance of machine-learning models across an international data sample of nearly 1.9 billion stock-month-anomaly observations from 1980 to 2019. We demonstrate significant monthly value-weighted (long-short)...