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Did ESG portfolio augment investors' wealth during Covid19? Evidence from Indian stock market
Sustainability Accounting, Management and Policy Journal ; 2022.
Article in English | Web of Science | ID: covidwho-2191635
ABSTRACT
PurposeThis paper aims to empirically examine the performance of the high-ESG (environment, social and governance) portfolio vis-a-vis the low-ESG portfolio at the Indian stock market before and during the Covid19 pandemic. Design/methodology/approachThe absolute rate of return and several risk-adjusted performance measures, for instance, Sharpe ratio, Modigliani-Modigliani measure, Treynor ratio, Jensen's alpha, information ratio, Fama's decomposition measure and Fama and French's three-factor model, have been used in this study along with the t-test. FindingsAll three indices (CARBONEX, GREENEX and BSE 500) had better returns during Covid19 period as compared to the pre-Covid19 period. However, these returns were not statistically significant. During Covid19, the risk of the indices also rose, but they provided better returns for the additional risk taken. Finally, it is concluded that the performance of high-ESG and low-ESG stock portfolios did not differ significantly in both periods. Practical implicationsThe study is relevant to individual and institutional investors, financial advisors, portfolio managers, corporations, policymakers, market regulators and society at large. Social implicationsThis study emphasized the need to expand the role of ESG investment in India for the benefit of people, communities and society as a whole. Originality/valueThis research is the first of its kind, to the best of the authors' knowledge, that compares the performance of a high-ESG portfolio with a low-ESG portfolio both before and during the Covid19, particularly in the Indian context.
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Full text: Available Collection: Databases of international organizations Database: Web of Science Language: English Journal: Sustainability Accounting, Management and Policy Journal Year: 2022 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: Web of Science Language: English Journal: Sustainability Accounting, Management and Policy Journal Year: 2022 Document Type: Article