Title: On the relationship between corporate environmental responsibility and financial performance: A portfolio analysis
Authors: Elettra Agliardi - University of Bologna (Italy)
Thomas Alexopoulos - University of Peloponnese, Greece (Greece) [presenting]
Abstract: In recent years there has been a significant influx of environmentally responsible oriented investors. Climate change is the leading cause and the most important factor for asset managers considering sustainable investments. Our research uses the environmental pillar of ESG as a proxy for environmental corporate responsibility. We examine the performance of environmentally clustered portfolios by using simple quantitative investment strategies with optimum asset rotation. Post-hoc, sample-split analysis with non-parametric tests has been performed. The Paris Agreement is additionally examined as a shock event. The results suggest that environmental status is a key characteristic for divergent financial behaviors and that neither the environmental leaders nor the laggards earn the most. Supporting evidence of positive spillovers in high Environmental Clusters are identified after the Paris Agreement. We also discuss the potential implications both from the perspective of potential investors and of future growth of a clean energy-related class of assets.