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The end of ESG? Return spillover between ESG and non-ESG portfolios

Author

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  • Zhang, Jining
  • He, Feng

Abstract

We investigate the return spillover between firms with environmental, social and governance (ESG) and non-ESG disclosure. Using a sample of Chinese firms from 2010 to 2022, we find that the ESG portfolio return has a stronger spillover effect on the non-ESG portfolio return. Moreover, the spillover effect between the two portfolios has decreased significantly in recent years, indicating that investors recognise ESG's unique advantage. Important global events, such as stock market crashes, the Sino–US trade wars and epidemics, increase ESG spillover into non-ESG portfolios.

Suggested Citation

  • Zhang, Jining & He, Feng, 2024. "The end of ESG? Return spillover between ESG and non-ESG portfolios," Finance Research Letters, Elsevier, vol. 69(PA).
    • Handle: RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011048
    DOI: 10.1016/j.frl.2024.106074
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