How Does the Market Price Responsible and Sustainable Investments?

In my study, I investigate whether it is possible to prove the hypothesis that investing in responsible, sustainable companies can be financially more rewarding from the perspective of investors, i.e. can result in higher profit than investing in companies that ignore these aspects. My further assumption is that this profit can be increased if I apply different restrictions or relative scores. I tested my hypotheses empirically on data from the New York Stock Exchange, both on investment strategies (portfolio creation) and at stock level (regression). I performed the tests for the total market, in detailed industry breakdowns and groupings as well. I tested the examined indicators (ESG, ENV) in isolation and with a relative approach, over several time horizons. For most of the tests, I obtained non-significant results; for some industries a minor negative impact can be seen, and for the regressions I obtained coefficients that are significant, but of negligible economic significance. Temporal decomposition shows the increasing significance of ESG and ENV, but even for the later time series it is not considered significant. The results suggest that the aspects under investigation are not yet priced by the market, so my hypotheses were not confirmed. This could be due to the greenwashing phenomenon or the developed US market.