How ESG Investing Has Impacted the Asset Pricing in the Equity Market
Contrary to common beliefs, we also observe that ESG had little impact on volatility and drawdown management during the 2010-2017 period. In the case of passive management, implementing an ESG strategy helps to improve the information ratio if the investor accepts to take a tracking error risk. Finally, we show that ESG investing is related to factor investing. In particular, we conclude that ESG investing remains an alpha strategy in North America, whereas it has become a beta strategy in the Eurozone.