The Incorporation of ESG Scores into Factor based Investment Decisions. Does ESG Integration necessarily come with a Financial Trade-off?
The present study examines potential financial trade-offs in socially responsible investment strategies. It focuses on a period between September 2009 and November 2019 in Central Europe. While financial performance of an investment is measured by monthly risk-adjusted returns, social responsibility is represented by Sustainalytics ESG scores. First, to analyze the effect of ESG scores on financia