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Financial Analysts Journal Volume 77, 2021 - Issue 1
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Research

Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens

Ananth Madhavan Ananth Madhavan is a managing director at BlackRock, San Francisco.ORCID Iconhttps://orcid.org/0000-0002-5471-3941
ORCID Icon,
Aleksander Sobczyk Aleksander Sobczyk is a director at BlackRock, San Francisco.ORCID Iconhttps://orcid.org/0000-0002-9003-5367
ORCID Icon &
Andrew Ang Andrew Ang is a managing director at BlackRock, New York City.ORCID Iconhttps://orcid.org/0000-0002-9722-1648
ORCID Icon
Pages 69-88 | Published online: 26 Oct 2020

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Zhihao Wang, Kezhi Liao & Yu Zhang. (2022) Does ESG Screening Enhance or Destroy Stock Portfolio Value? Evidence from China. Emerging Markets Finance and Trade 58:10, pages 2927-2941.
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Andrew W. Lo. (2021) The Financial System Red in Tooth and Claw: 75 Years of Co-Evolving Markets and Technology. Financial Analysts Journal 77:3, pages 5-33.
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Adam Marszk & Ewa Lechman. (2024) What drives sustainable investing? Adoption determinants of sustainable investing exchange-traded funds in Europe. Structural Change and Economic Dynamics 69, pages 63-82.
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Huaigang Long, Mardy Chiah, Nusret Cakici, Adam Zaremba & Mehmet Huseyin Bilgin. (2024) ESG investing in good and bad times: An international study. Journal of International Financial Markets, Institutions and Money 91, pages 101916.
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David Ardia, Keven Bluteau, Gabriel Lortie-Cloutier & Thien Duy Tran. (2023) Factor exposure heterogeneity in green and brown stocks. Finance Research Letters 55, pages 103900.
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Jingjing Fan. 2023. Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022). Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022) 452 460 .
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Hande Ayaydın Hacıömeroğlu, Seza Danışoğlu, Z. Nuray Güner & Baki Cem Şahin. (2022) The agency cost of investing in ethical funds: A style analysis approach. Borsa Istanbul Review 22, pages S169-S179.
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Lisa R. Goldberg & Saad Mouti. (2022) Sustainable investing and the cross-section of returns and maximum drawdown. The Journal of Finance and Data Science 8, pages 353-387.
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Irena Jankovic, Vladimir Vasic & Vlado Kovacevic. (2022) Does transparency matter? Evidence from panel analysis of the EU government green bonds. Energy Economics 114, pages 106325.
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V. V. Karginova-Gubinova. (2022) Impact of the ESG focus on any efficiency and fairness of the stock market. World of Economics and Management 22:3, pages 21-34.
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Danila V. OVECHKIN & Natalia B. BOLDYREVA. (2022) ECONOMETRIC ASSESSMENT OF RISK PREMIUMS IN THE RUSSIAN STOCK MARKET. Tyumen State University Herald. Social, Economic, and Law Research 8:1, pages 331-347.
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Olga Klinkowska & Yuan Zhao. (2022) Performance and Flow of SRI Mutual Funds and Investors Sophistication. SSRN Electronic Journal.
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Paul Yoo. (2022) ESG Investing: A Tale of Two Preferences. SSRN Electronic Journal.
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Karishma Kaul, Katharina Schwaiger, Muling Si & Andrew Ang. (2022) Sustainable Alpha in Sovereign and Corporate Bonds. SSRN Electronic Journal.
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Nusret Cakici & Adam Zaremba. (2021) Responsible Investing: ESG Ratings and the Cross-Section of International Stock Returns. SSRN Electronic Journal.
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Nishant Kashyap. (2021) They believe what they see: Investor response to strategy versus score based SRI classification. SSRN Electronic Journal.
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Guillaume Coqueret. (2020) ESG Equity Investing: A Short Survey. SSRN Electronic Journal.
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