ERBE 05 2 05
ESG Scores and Stock Returns: Evidence from the French Equity Market
CARLOS ALVES 
a,b,* BENOÎT GINEPRO a
a Faculdade de Economia, University of Porto, Porto, Portugal, b Faculdade de Economia, University of Porto, Porto, Portugal.
b Center for Economics and Finance (CEF- UP), University of Porto, Porto, Portugal
* Corresponding author: jfarinha@fep.up.pt
To cite this article:
Carlos Alves, Ginepro, B. 2026. ESG Scores and Stock Returns: Evidence from the French Equity Market, European Review of Business Economics V(2): 99-125.
DOI: https://doi.org/10.26619/ERBE-2026.5.2.5
Received: 20 May 2026. Accepted: 10 June 2026. Published: 30 June 2026.
Language: English
Abstract
This paper examines the relationship between Environmental, Social, and Governance (ESG) performance and stock returns in the French equity market. Using ESG scores from Refinitiv, portfolios are developed based on both aggregate ESG ratings and individual pillar scores (Environmental, Social, and Governance). A long-short portfolio strategy is implemented, and performance is assessed through multifactor asset pricing models, including the Fama-French three-factor, Carhart four-factor, and Fama-French five-factor models over the period 2017–2023. The results indicate that firms with lower overall ESG scores tend to outperform those with higher scores, particularly in value-weighted portfolios. This effect is driven by statistically significant positive alphas in low-ESG portfolios, while high-ESG portfolios do not exhibit abnormal returns. The High–Low spread is negative and significant, supporting the hypothesis that higher ESG performance is not associated with superior stock returns in this context. At the pillar level, Governance emerges as the primary driver of this effect, with low-governance firms generating higher abnormal returns, whereas Environmental and Social dimensions show no significant return differentials. Overall, the findings suggest that traditional risk factors do not fully capture ESG performance and may reflect market perceptions of ESG as a cost rather than a value-enhancing investment, particularly in the French market.
Keywords
ESG, stock returns, asset pricing, Fama-French model, Carhart model, France, portfolio sorting, ESG pillars.
Albuquerque, R., Koskinen, Y., Yang, S., & Zhang, C. (2020). Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash. Review of Corporate Finance Studies 9(3): 593–621. https://doi.org/10.1093/rcfs/cfaa011
Alves, C. & Meneses, L. (2024). ESG Scores and Debt Costs: Exploring Indebtedness, Agency Costs, and Financial System Impact. International Review of Financial Analysis 94. https://doi.org/10.1016/j.irfa.2024.103240.
Alves, C. F., & Barreira, J. (2024). Is a Socially Responsible Investment Necessarily Efficient? Evidence from SRI Mutual Funds and Sin Stocks, European Review of Business Economics 3(2): 123-142. https://doi.org/10.26619/ERBE-2023.3.2.6.
Alves, C., & Mendes, V. (2004). Corporate Governance Policy and Company Performance: The Portuguese case. Corporate Governance: An International Review 12(3): 290-301. https://doi.org/10.1111/j.1467-8683.2004.00370.x.
Amel-Zadeh, A., & Serafeim, G. (2018). Why and How Investors Use ESG Information: Evidence from a Global Survey. Financial Analysts Journal 74(3): 87-103. https://doi.org/10.2469/faj.v74.n3.2.
AMF (2022). The AMF Reiterates its Call for a European Regulation of ESG Data, Ratings, and Related Services. Retrieved from Autorité des marchés financiers (AMF): https://www.amf-france.org/en/news-publications/news/amf-reiterates-its-call-european-regulation-esg-data-ratings-and-related-services
AMF (2024). CSRD Sustainability Reporting: Preparing for the New Requirements. Retrieved from Autorité des Marchés Financiers: https://www.amf-france.org/en/news-publications/depth/csrd-sustainability-reporting
Baier, P., Berninger, M., & Kiesel, F. (2020). Environmental, Social and Governance Reporting in Annual Reports: A Textual Analysis. Financial Markets, Institutions and Instruments 29(3): 93-118. https://doi.org/10.1111/fmii.12132
Barber, B. M., Morse, A., & Yasuda, A. (2021). Impact investing. Journal of Financial Economics 139(1): 162-185. https://doi.org/10.1016/j.jfineco.2020.07.008.
Barnea, A., & Rubin, A. (2010). Corporate Social Responsibility as a Conflict Between Shareholders. Journal of Business Ethics 97: 71–86. https://doi.org/10.1007/s10551-010-0496-z.
Bebchuk, L., & Fried, J. (2004). Pay without performance: The unfulfilled promise of executive compensation. London: Harvard University Press.
Berg, F., Kölbel, J., & Rigobon, R. (2022). Aggregate confusion: The Divergence of ESG Ratings. Review of Finance 26(6): 1315–1344. https://doi.org/10.1093/rof/rfac033.
Bergh, D., Connelly, B., Ketchen, D., & Shannon, L. (2014). Signalling Theory and Equilibrium in Strategic Management Research: An Assessment and a Research Agenda. Journal of Management Studies 51(8): 1334-1360. https://doi.org/10.1111/joms.12097.
Bhaskaran, R. K., Kiong Ting, I. W., Sukumaran, S. K., & Sumod, S. D. (2020). Environmental, Social and Governance Initiatives and Wealth Creation for Firms: An Empirical Examination. Managerial and Decision Economics 41(5): 710-729. https://doi.org/10.1002/mde.3131.
BNP Paribas. (2023). ESG Global Survey 2023: Accelerating ESG Transformation. BNP Paribas Corporate and Institutional Banking. Retrieved from https://securities.cib.bnpparibas/app/uploads/sites/3/2023/12/esg-global-survey-consolidated-report.pdf.
Borgers, A., Derwall, J., Koedijk, K., & Ter Horst, J. (2013). Stakeholder Relations and Stock Returns: On Errors in Investors’ Expectations and Learning. Journal of Empirical Finance 22: 159-175. https://doi.org/10.1016/j.jempfin.2013.04.003.
Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52(1): 57-82. https://doi.org/10.1111/j.1540-6261.1997.tb03808.x.
Christensen, D., Serafeim, G., & Sikochi, A. (2022). Why is Corporate Virtue in the Eye of the Beholder? The Case of ESG Ratings. Accounting Review 97(1): 147–175. https://doi.org/10.2308/TAR-2019-0506.
Derwall, J., Guenster, N., Bauer, R., & Koedijk, K. (2005). The Eco-Efficiency Premium Puzzle. Financial Analysts Journal 61(2): 51–63. https://doi.org/10.2469/faj.v61.n2.2716.
Drempetic, S., Klein, C., & Zwergel, B. (2020). The Influence of Firm Size on the ESG Score: Corporate Sustainability Ratings Under Review. Journal of Business Ethics 167: 333-360. https://doi.org/10.1007/s10551-019-04164-1.
Edmans, A. (2011). Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices. Journal of Financial Economics 101(3): 621-640. https://doi.org/10.1016/j.jfineco.2011.03.021.
Euronext. (2021). Euronext launches new CAC 40® ESG Index to Meet Growing Demand for Sustainable Investment Tools. https://www.euronext.com/en/about/media/euronext-press-releases/euronext-launches-new-cac-40-esgr-index-meet-financial#:~:text=Paris%20%E2%80%93%2022%20March%202021%20%E2%80%93%20Euronext,and%20Governance%20(ESG)%20practices.: Euronext.
Fama, E., & French, K. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Economics 116(1): 1-22. https://doi.org/10.1016/j.jfineco.2014.10.010.
Fama, E., & French, K. 2004. The Capital Asset Pricing Model: Theory and Evidence” Journal of Economic Perspectives 18(3): 25–46. https://doi.org/10.1257/0895330042162430.
Fama, F., & French, K. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33(1): 3-56. https://doi.org/10.1016/0304-405X(93)90023-5.
Freeman, R.E. 1984. Strategic Management: A Stakeholder Approach. Pitman.
Freeman, R.E., Harrison, J. S., & Zyglidopoulos, S. 2018. Stakeholder Theory: Concepts and Strategies. Cambridge University Press. https://doi.org/10.1017/9781108539500
Friede, G., Busch, T., & Bassen, A. (2015). ESG and Financial Performance: Aggregated Evidence from More than 2000 Empirical Studies. Journal of Sustainable Finance & Investment 5(4): 210–233. https://doi.org/10.1080/20430795.2015.1118917.
Friedman, M. 1970. The Social Responsibility of Business is to Increase its Profits. The New York Times Magazine.
Fu, T., & Li, J. (2023). An Empirical Analysis of the Impact of ESG on Financial Performance: The Moderating Role of Digital Transformation. Frontiers in Environmental Science 11: 1256052. https://doi.org/10.3389/fenvs.2023.1256052.
Garcia, A., & Orsato, R. (2020). Testing the Institutional Difference Hypothesis: A Study About Environmental, Social, Governance, and Financial Performance. Business Strategy and The Environment 29: 3261–3272. https://doi.org/10.1002/bse.2570.
Gaunt, C. (2004), Size and Book to Market Effects and the Fama French Three Factor Asset Pricing Model: Evidence from the Australian Stockmarket. Accounting and Finance 44: 27-44. https://doi.org/10.1111/j.1467-629x.2004.00100.x.
Gibson, R., Krueger, P., & Schmidt, P. S. (2019). ESG Rating Disagreement and Stock Returns. Financial Analyst Journal 77(4): 104-127. DOI: 10.1080/0015198X.2021.1963186.
Giese, G., Lee, L., Melas, D., Nagy, Z., & Nishikawa, L. (2019). Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance. Journal of Portfolio Management 45(5): 69 – 83. https://doi.org/10.3905/jpm.2019.45.5.069.
Gillan, S., Koch, A., & Starks, L. (2021). Firms and Social Responsibility: A Review of ESG and CSR Research in Corporate Finance. Journal of Corporate Finance 66: 101889. https://doi.org/10.1016/j.jcorpfin.2021.101889.
Gompers, P., Ishii, J., & Metrick, A. (2001). Corporate Governance and Equity Prices. Quarterly Journal of Economics 18(1): 107-155. http://dx.doi.org/10.2139/ssrn.278920.
Halbritter, G., & Dorfleitner, G. (2015). The Wages of Social Responsibility – Where Are They? A Critical Review of ESG Investing. Review of Financial Economics 26: 25-35. https://doi.org/10.1016/j.rfe.2015.03.004.
Hartmann, C., & Carmenate, J. (2020). Does Board Diversity Influence Firms’ Corporate Social Responsibility Reputation?. Social Responsibility Journal 17(8): 1299-1319. https://doi.org/10.1108/SRJ-04-2020-0143
Hong, H., & Kacperczyk, M. (2009). The Price of Sin: The Effects of Social Norms on Markets. Journal of Financial Economics 93(1): 15-36. https://doi.org/10.1016/j.jfineco.2008.09.001.
Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance 48(1): 65-91. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x.
Jensen, M., & Meckling, W. (1976). Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure. Journal of Financial Economics 3(4): 305-360. https://doi.org/10.1016/0304-405X(76)90026-X.
Kempf, A., & Osthoff, P. (2007). The Effect of Socially Responsible Investing on Portfolio Performance. European Financial Management 13(5): 908-922. https://doi.org/10.1111/j.1468-036X.2007.00402.x.
Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate Sustainability: First Evidence on Materiality. Accounting Review 91(6): 1697-1724. http://dx.doi.org/10.2139/ssrn.2575912.
Kotsantonis, S., & Serafeim, G. (2019). Four Things No One Will Tell You About ESG Data. Journal of Applied Corporate Finance 31(2): 50-58. https://ssrn.com/abstract=3420297.
Krueger, P. (2015). Corporate Goodness and Shareholder Wealth. Journal of Financial Economics 115(2): 304-329. http://www.sciencedirect.com/science/article/pii/S0304405X14001925.
Lins, K., Servaes, H., & TAMAYO, A. (2017). Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility During the Financial Crisis. Journal of Finance 72(4): 1785-1824. https://onlinelibrary.wiley.com/doi/10.1111/jofi.12505.
Luo, D. (2022). ESG, Liquidity, and Stock Returns. Journal of International Financial Markets, Institutions and Money 78: 101526. https://doi.org/10.1016/j.intfin.2022.101526.
Martinez-Meyers, S., Ferrero-Ferrero I., & Muñoz-Torres M. (2024). The European Sustainable Finance Disclosure Regulation (SFDR) and its Influence on ESG Performance and Risk in the Fund Industry from a Multi-Regional Perspective. Journal of Financial Reporting and Accounting Forthcoming. https://doi.org/10.1108/JFRA-03-2024-0150.
Parmar, B., Freeman, R., Harrison, J., Wicks, A., Purnell, L. & Colle, S. (2010). Stakeholder Theory: The State of the Art. Academy of Management Annals 4(1): 403-445. https://doi.org/10.5465/19416520.2010.495581.
Pastor, L., Stambaugh, R., & Taylor, L. (2021). Sustainable Investing in Equilibrium. Journal of Financial Economics 142(2): 550-571. https://doi.org/10.1016/j.jfineco.2020.12.011.
Prol, J., & Kim, K. (2022). Risk-Return Performance of Optimised ESG Equity Portfolios in the NYSE. Finance Research Letters 50: 103312. https://doi.org/10.1016/j.frl.2022.103312.
Renneboog, L., Ter Horst, J., & Zhang, C. (2008). Socially Responsible Investments: Institutional Aspects, Performance, and Investor Behavior. Journal of Banking and Finance 32(9): 1723-1742. https://doi.org/10.1016/j.jbankfin.2007.12.039.
Renuka, & Padmaja. (2022). Impact of Environment Performance on Financial Performance. Academy of Marketing Studies Journal 26(6): 1-10. https://www.abacademies.org/articles/impact-of-environment-performance-on-financial-performance-15260.html
Ruan, L., & Liu, H. (2021). Environmental, Social, Governance Activities and Firm Performance: Evidence from China. Sustainability 13(2): 767. https://doi.org/10.3390/su13020767.
Servaes, H., & Tamayo, A. (2012). The Impact of Corporate Social Responsibility on Firm Value: The Role of Customer Awareness. Management Science 59(5). Albuquerque, R., Koskinen, Y., Yang, S., & Zhang, C. (2020). Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash. Review of Corporate Finance Studies 9(3): 593–621. https://doi.org/10.1093/rcfs/cfaa011.
Alves, C. & Meneses, L. (2024). ESG Scores and Debt Costs: Exploring Indebtedness, Agency Costs, and Financial System Impact. International Review of Financial Analysis 94. https://doi.org/10.1016/j.irfa.2024.103240.
Alves, C. F., & Barreira, J. (2024). Is a Socially Responsible Investment Necessarily Efficient? Evidence from SRI Mutual Funds and Sin Stocks, European Review of Business Economics 3(2): 123-142. https://doi.org/10.26619/ERBE-2023.3.2.6.
Alves, C., & Mendes, V. (2004). Corporate Governance Policy and Company Performance: The Portuguese case. Corporate Governance: An International Review 12(3): 290-301. https://doi.org/10.1111/j.1467-8683.2004.00370.x.
Amel-Zadeh, A., & Serafeim, G. (2018). Why and How Investors Use ESG Information: Evidence from a Global Survey. Financial Analysts Journal 74(3): 87-103. https://doi.org/10.2469/faj.v74.n3.2.
AMF (2022). The AMF Reiterates its Call for a European Regulation of ESG Data, Ratings, and Related Services. Retrieved from Autorité des marchés financiers (AMF): https://www.amf-france.org/en/news-publications/news/amf-reiterates-its-call-european-regulation-esg-data-ratings-and-related-services
AMF (2024). CSRD Sustainability Reporting: Preparing for the New Requirements. Retrieved from Autorité des Marchés Financiers: https://www.amf-france.org/en/news-publications/depth/csrd-sustainability-reporting
Baier, P., Berninger, M., & Kiesel, F. (2020). Environmental, Social and Governance Reporting in Annual Reports: A Textual Analysis. Financial Markets, Institutions and Instruments 29(3): 93-118. https://doi.org/10.1111/fmii.12132
Barber, B. M., Morse, A., & Yasuda, A. (2021). Impact investing. Journal of Financial Economics 139(1): 162-185. https://doi.org/10.1016/j.jfineco.2020.07.008.
Barnea, A., & Rubin, A. (2010). Corporate Social Responsibility as a Conflict Between Shareholders. Journal of Business Ethics 97: 71–86. https://doi.org/10.1007/s10551-010-0496-z.
Bebchuk, L., & Fried, J. (2004). Pay without performance: The unfulfilled promise of executive compensation. London: Harvard University Press.
Berg, F., Kölbel, J., & Rigobon, R. (2022). Aggregate confusion: The Divergence of ESG Ratings. Review of Finance 26(6): 1315–1344. https://doi.org/10.1093/rof/rfac033.
Bergh, D., Connelly, B., Ketchen, D., & Shannon, L. (2014). Signalling Theory and Equilibrium in Strategic Management Research: An Assessment and a Research Agenda. Journal of Management Studies 51(8): 1334-1360. https://doi.org/10.1111/joms.12097.
Bhaskaran, R. K., Kiong Ting, I. W., Sukumaran, S. K., & Sumod, S. D. (2020). Environmental, Social and Governance Initiatives and Wealth Creation for Firms: An Empirical Examination. Managerial and Decision Economics 41(5): 710-729. https://doi.org/10.1002/mde.3131.
BNP Paribas. (2023). ESG Global Survey 2023: Accelerating ESG Transformation. BNP Paribas Corporate and Institutional Banking. Retrieved from https://securities.cib.bnpparibas/app/uploads/sites/3/2023/12/esg-global-survey-consolidated-report.pdf.
Borgers, A., Derwall, J., Koedijk, K., & Ter Horst, J. (2013). Stakeholder Relations and Stock Returns: On Errors in Investors’ Expectations and Learning. Journal of Empirical Finance 22: 159-175. https://doi.org/10.1016/j.jempfin.2013.04.003.
Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52(1): 57-82. https://doi.org/10.1111/j.1540-6261.1997.tb03808.x.
Christensen, D., Serafeim, G., & Sikochi, A. (2022). Why is Corporate Virtue in the Eye of the Beholder? The Case of ESG Ratings. Accounting Review 97(1): 147–175. https://doi.org/10.2308/TAR-2019-0506.
Derwall, J., Guenster, N., Bauer, R., & Koedijk, K. (2005). The Eco-Efficiency Premium Puzzle. Financial Analysts Journal 61(2): 51–63. https://doi.org/10.2469/faj.v61.n2.2716.
Drempetic, S., Klein, C., & Zwergel, B. (2020). The Influence of Firm Size on the ESG Score: Corporate Sustainability Ratings Under Review. Journal of Business Ethics 167: 333-360. https://doi.org/10.1007/s10551-019-04164-1.
Edmans, A. (2011). Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices. Journal of Financial Economics 101(3): 621-640. https://doi.org/10.1016/j.jfineco.2011.03.021.
Euronext. (2021). Euronext launches new CAC 40® ESG Index to Meet Growing Demand for Sustainable Investment Tools. https://www.euronext.com/en/about/media/euronext-press-releases/euronext-launches-new-cac-40-esgr-index-meet-financial#:~:text=Paris%20%E2%80%93%2022%20March%202021%20%E2%80%93%20Euronext,and%20Governance%20(ESG)%20practices.: Euronext.
Fama, E., & French, K. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Economics 116(1): 1-22. https://doi.org/10.1016/j.jfineco.2014.10.010.
Fama, E., & French, K. 2004. The Capital Asset Pricing Model: Theory and Evidence” Journal of Economic Perspectives 18(3): 25–46. https://doi.org/10.1257/0895330042162430.
Fama, F., & French, K. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33(1): 3-56. https://doi.org/10.1016/0304-405X(93)90023-5.
Freeman, R.E. 1984. Strategic Management: A Stakeholder Approach. Pitman.
Freeman, R.E., Harrison, J. S., & Zyglidopoulos, S. 2018. Stakeholder Theory: Concepts and Strategies. Cambridge University Press. https://doi.org/10.1017/9781108539500
Friede, G., Busch, T., & Bassen, A. (2015). ESG and Financial Performance: Aggregated Evidence from More than 2000 Empirical Studies. Journal of Sustainable Finance & Investment 5(4): 210–233. https://doi.org/10.1080/20430795.2015.1118917.
Friedman, M. 1970. The Social Responsibility of Business is to Increase its Profits. The New York Times Magazine.
Fu, T., & Li, J. (2023). An Empirical Analysis of the Impact of ESG on Financial Performance: The Moderating Role of Digital Transformation. Frontiers in Environmental Science 11: 1256052. https://doi.org/10.3389/fenvs.2023.1256052.
Garcia, A., & Orsato, R. (2020). Testing the Institutional Difference Hypothesis: A Study About Environmental, Social, Governance, and Financial Performance. Business Strategy and The Environment 29: 3261–3272. https://doi.org/10.1002/bse.2570.
Gaunt, C. (2004), Size and Book to Market Effects and the Fama French Three Factor Asset Pricing Model: Evidence from the Australian Stockmarket. Accounting and Finance 44: 27-44. https://doi.org/10.1111/j.1467-629x.2004.00100.x.
Gibson, R., Krueger, P., & Schmidt, P. S. (2019). ESG Rating Disagreement and Stock Returns. Financial Analyst Journal 77(4): 104-127. DOI: 10.1080/0015198X.2021.1963186.
Giese, G., Lee, L., Melas, D., Nagy, Z., & Nishikawa, L. (2019). Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance. Journal of Portfolio Management 45(5): 69 – 83. https://doi.org/10.3905/jpm.2019.45.5.069.
Gillan, S., Koch, A., & Starks, L. (2021). Firms and Social Responsibility: A Review of ESG and CSR Research in Corporate Finance. Journal of Corporate Finance 66: 101889. https://doi.org/10.1016/j.jcorpfin.2021.101889.
Gompers, P., Ishii, J., & Metrick, A. (2001). Corporate Governance and Equity Prices. Quarterly Journal of Economics 18(1): 107-155. http://dx.doi.org/10.2139/ssrn.278920.
Halbritter, G., & Dorfleitner, G. (2015). The Wages of Social Responsibility – Where Are They? A Critical Review of ESG Investing. Review of Financial Economics 26: 25-35. https://doi.org/10.1016/j.rfe.2015.03.004.
Hartmann, C., & Carmenate, J. (2020). Does Board Diversity Influence Firms’ Corporate Social Responsibility Reputation?. Social Responsibility Journal 17(8): 1299-1319. https://doi.org/10.1108/SRJ-04-2020-0143
Hong, H., & Kacperczyk, M. (2009). The Price of Sin: The Effects of Social Norms on Markets. Journal of Financial Economics 93(1): 15-36. https://doi.org/10.1016/j.jfineco.2008.09.001.
Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance 48(1): 65-91. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x.
Jensen, M., & Meckling, W. (1976). Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure. Journal of Financial Economics 3(4): 305-360. https://doi.org/10.1016/0304-405X(76)90026-X.
Kempf, A., & Osthoff, P. (2007). The Effect of Socially Responsible Investing on Portfolio Performance. European Financial Management 13(5): 908-922. https://doi.org/10.1111/j.1468-036X.2007.00402.x.
Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate Sustainability: First Evidence on Materiality. Accounting Review 91(6): 1697-1724. http://dx.doi.org/10.2139/ssrn.2575912.
Kotsantonis, S., & Serafeim, G. (2019). Four Things No One Will Tell You About ESG Data. Journal of Applied Corporate Finance 31(2): 50-58. https://ssrn.com/abstract=3420297.
Krueger, P. (2015). Corporate Goodness and Shareholder Wealth. Journal of Financial Economics 115(2): 304-329. http://www.sciencedirect.com/science/article/pii/S0304405X14001925.
Lins, K., Servaes, H., & TAMAYO, A. (2017). Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility During the Financial Crisis. Journal of Finance 72(4): 1785-1824. https://onlinelibrary.wiley.com/doi/10.1111/jofi.12505.
Luo, D. (2022). ESG, Liquidity, and Stock Returns. Journal of International Financial Markets, Institutions and Money 78: 101526. https://doi.org/10.1016/j.intfin.2022.101526.
Martinez-Meyers, S., Ferrero-Ferrero I., & Muñoz-Torres M. (2024). The European Sustainable Finance Disclosure Regulation (SFDR) and its Influence on ESG Performance and Risk in the Fund Industry from a Multi-Regional Perspective. Journal of Financial Reporting and Accounting Forthcoming. https://doi.org/10.1108/JFRA-03-2024-0150.
Parmar, B., Freeman, R., Harrison, J., Wicks, A., Purnell, L. & Colle, S. (2010). Stakeholder Theory: The State of the Art. Academy of Management Annals 4(1): 403-445. https://doi.org/10.5465/19416520.2010.495581.
Pastor, L., Stambaugh, R., & Taylor, L. (2021). Sustainable Investing in Equilibrium. Journal of Financial Economics 142(2): 550-571. https://doi.org/10.1016/j.jfineco.2020.12.011.
Prol, J., & Kim, K. (2022). Risk-Return Performance of Optimised ESG Equity Portfolios in the NYSE. Finance Research Letters 50: 103312. https://doi.org/10.1016/j.frl.2022.103312.
Renneboog, L., Ter Horst, J., & Zhang, C. (2008). Socially Responsible Investments: Institutional Aspects, Performance, and Investor Behavior. Journal of Banking and Finance 32(9): 1723-1742. https://doi.org/10.1016/j.jbankfin.2007.12.039.
Renuka, & Padmaja. (2022). Impact of Environment Performance on Financial Performance. Academy of Marketing Studies Journal 26(6): 1-10. https://www.abacademies.org/articles/impact-of-environment-performance-on-financial-performance-15260.html
Ruan, L., & Liu, H. (2021). Environmental, Social, Governance Activities and Firm Performance: Evidence from China. Sustainability 13(2): 767. https://doi.org/10.3390/su13020767.
Servaes, H., & Tamayo, A. (2012). The Impact of Corporate Social Responsibility on Firm Value: The Role of Customer Awareness. Management Science 59(5). https://doi.org/10.2307/23443926.
Wang, C., Cohen, A., & Bebchuk, L. (2012). Learning and the Disappearing Association Between Governance and Returns. Journal of Financial Economics 108(2): 323-348. http://www.sciencedirect.com/science/article/pii/S0304405X12002164.
Whelan, T., Van Holt, T., & Clark, C. (2021). ESG and Financial Performance: Uncovering the Relationship by Aggregating Evidence from 1,000 Plus Studies Published Between 2015 and 2020. NYU Stern Center for Sustainable Business & Rockefeller Asset Management. https://www.stern.nyu.edu/sites/default/files/assets/documents/NYU-RAM_ESG-Paper_2021%20Rev_0.pdf.10.2307/23443926.
Wang, C., Cohen, A., & Bebchuk, L. (2012). Learning and the Disappearing Association Between Governance and Returns. Journal of Financial Economics 108(2): 323-348. http://www.sciencedirect.com/science/article/pii/S0304405X12002164. Whelan, T., Van Holt, T., & Clark, C. (2021). ESG and Financial Performance: Uncovering the Relationship by Aggregating Evidence from 1,000 Plus Studies Published Between 2015 and 2020. NYU Stern Center for Sustainable Business & Rockefeller Asset Management. https://www.stern.nyu.edu/sites/default/files/assets/documents/NYU-RAM_ESG-Paper_2021%20Rev_0.pdf.
