ESG and Quality Are Not the Same
The study deconstructs both ESG and quality into their main components and analyzes the relationships across three different regions. There are regional- and subgroup-specific findings that highlight the importance of this more granular approach. The cross-sectional approach used in this study looks at the topic from a different angle, adding nuance when compared with previous studies. ESG appears to contain information not covered by other risk factors and thus appears to have a risk premium that is not fully explained by quality in the period covered.