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The Anti-Esg Equity Premium, John Wallace

CMC Senior Theses

In this paper, I estimate the monthly alpha of sin stocks as a means to assess the influence that ESG investors exert on the public equity markets. I hypothesize that the systematic avoidance of sin stocks leads to the outperformance of a broad sin portfolio relative to conventional market benchmarks. Further, given the increase in the proportion of ESG-oriented assets under management in recent years, I hypothesize that the observed alpha in more recent periods exceeds that of prior periods. Consistent with the first plank of my hypothesis, I provide strong evidence for the outperformance of sin stocks over time …