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ESG's null effect on the Quality premium : Analysing ESG integration into the Quality-factor on the S&P500 from 2003 to 2024

Magister-uppsats

Rátfai, Lorinc, Pajkic, Nikola

Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

Publicerad: 2026

Språk: Engelska

Nyckelord

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⌕portfolio construction⌕ESG⌕factor investing⌕QMJ

Sammanfattning

On a full sample of ESG-rated S&P 500 stocks from 2003 to 2024, ESG overlays add no statistically significant alpha improvement to the Quality-minus-Junk strategy. Furthermore, ESG overlays also fail to improve returns within the Quality leg. Results are confirmed with factor-controls up to FF5+1, as well as several robustness tests. These findings challenge earlier research that suggest an "icing on the cake" effect for high-quality stocks.

Information

Författare
Rátfai, Lorinc, Pajkic, Nikola
Lärosäte / institution
Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Publiceringsdatum
2026
Uppsatstyp
Magister-uppsats
Språk
Engelska
Nyckelord
⌕portfolio construction⌕ESG⌕factor investing⌕QMJ

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