How Material is a Material Issue? Stock Returns and the Financial Relevance and Financial Intensity of ESG Materiality

Costanza Consolandi, Robert G. Eccles, Giampaolo Gabbi

2020 | Academic | Portfolio Construction, Risk & Performance

The results of the analysis, based on a large sample of U.S. compa-nies included in the Russell 3000 from January 2008 to July 2019 show that not only do ESG rating change (ESG momentum) have a consistent impact on equity performance, but also that the market seems to reward more those companies operating in industries with a high level of ESG materiality concentration.