@article {Aw14, author = {Edward N.W. Aw and Stephen J. LaPerla and Gregory Y. Sivin}, title = {A Morality Tale of ESG: Assessing Socially Responsible Investing}, volume = {19}, number = {4}, pages = {14--23}, year = {2017}, doi = {10.3905/jwm.2017.19.4.014}, publisher = {Institutional Investor Journals Umbrella}, abstract = {A review of academic literature suggests a lack of consensus on positive and negative abnormal returns associated with socially responsible investing/environmental, social, and governance (SRI/ESG) factors. This article examines the benefit of incorporating ESG factors during a more recent period to acknowledge the ongoing investment trend toward ESG. The authors find that the top-quintile (most compliant) stocks ranked by ESG score underperform the out-sample research universe. They present evidence that indicates incorporating ESG into a robust quantitative investment process can mitigate the adverse effect, however, thus providing investors with a portfolio that outperforms a benchmark while allowing investors to embrace ESG.TOPICS: ESG investing, analysis of individual factors/risk premia, performance measurement}, issn = {1534-7524}, URL = {https://jwm.pm-research.com/content/19/4/14}, eprint = {https://jwm.pm-research.com/content/19/4/14.full.pdf}, journal = {The Journal of Wealth Management} }