References
- Amel-Zadeh, A., and G. Serafeim. 2018. Why and how investors use ESG information: Evidence from a global survey. Financial Analysts Journal 74 (3):87–103. doi:https://doi.org/10.2469/faj.v74.n3.2.
- Auer, B. R. 2016. Do socially responsible investment policies add or destroy European stock portfolio value? Journal of Business Ethics 135 (2):381–97. doi:https://doi.org/10.1007/s10551-014-2454-7.
- Badía, G., M. C. Cortez, and F. Luis. 2020. Socially responsible investing worldwide: Do markets value corporate social responsibility? Corporate Social Responsibility and Environmental Management 27 (6):2751–64. doi:https://doi.org/10.1002/csr.1999.
- Bertrand, P., and V. Lapointe. 2018. Risk-based strategies: The social responsibility of investment universes does matter. Annals of Operations Research 262 (2):413–29. doi:https://doi.org/10.1007/s10479-015-2081-4.
- Broadstock, D. C., K. Chan, L. T. Cheng, and X. W. Wang. 2021. The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance Research Letters 38:101716. doi:https://doi.org/10.1016/j.frl.2020.101716.
- Carhart, M. M. 1997. On persistence in mutual fund performance. Journal of Finance 52 (1):57–82. doi:https://doi.org/10.1111/j.1540-6261.1997.tb03808.x.
- Daugaard, D. 2020. Emerging new themes in environmental, social and governance investing: A systematic literature review. Accounting and Finance 60 (2):1501–30. doi:https://doi.org/10.1111/acfi.12479.
- DeMiguel, V., L. Garlappi, and R. Uppal. 2009. Optimal versus naïve diversification: How inefficient is the 1/N portfolio strategy? Review of Financial Studies 22 (5):1915–53. doi:https://doi.org/10.1093/rfs/hhm075.
- Derwall, J., K. Koedijk, and J. Ter Horst. 2011. A tale of values-driven and profit seeking social investors. Journal of Banking and Finance 35 (8):2137–47. doi:https://doi.org/10.1016/j.jbankfin.2011.01.009.
- Dyck, A., K. V. Lins, L. Roth, and H. F. Wagner. 2019. Do institutional investors drive corporate social responsibility? International evidence. Journal of Financial Economics 131 (3):693–714. doi:https://doi.org/10.1016/j.jfineco.2018.08.013.
- Fama, E. F., and K. R. French. 2015. A five-factor asset pricing model. Journal of Financial Economics 116 (1):1–22. doi:https://doi.org/10.1016/j.jfineco.2014.10.010.
- Friede, G., T. Busch, and A. Bassen. 2015. ESG and financial performance: Aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance and Investment 5 (4):210–33. doi:https://doi.org/10.1080/20430795.2015.1118917.
- Gao, Y., X. Xiong, and X. Feng. 2020. Responsible investment in the Chinese stock market. Research in International Business and Finance 52:101173. doi:https://doi.org/10.1016/j.ribaf.2019.101173.
- Hong, H., and M. Kacperczyk. 2009. The price of sin: The effects of social norms on markets. Journal of Financial Economics 93 (1):15–36. doi:https://doi.org/10.1016/j.jfineco.2008.09.001.
- Hou, K., C. Xue, and L. Zhang. 2015. Digesting anomalies: An investment approach. Review of Financial Studies 28 (3):650–705. doi:https://doi.org/10.1093/rfs/hhu068.
- Kirby, C., and B. Ostdiek. 2012. It’s all in the timing: Simple active portfolio strategies that outperform naive diversification. Journal of Financial and Quantitative Analysis 47 (2):437–67. doi:https://doi.org/10.1017/S0022109012000117.
- Ledoit, O., and M. Wolf. 2008. Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance 15 (5):850–59. doi:https://doi.org/10.1016/j.jempfin.2008.03.002.
- Lee, D. D., J. H. Fan, and V. S. H. Wong. 2021. No more excuses! Performance of ESG-integrated portfolios in Australia. Account and Finance 61 (1):2407–50. doi:https://doi.org/10.1111/acfi.12670.
- Madhavan, A., A. Sobczyk, and A. Ang. 2021. Toward ESG alpha: Analyzing ESG exposures through a factor lens. Financial Analysts Journal 77 (1):69–88. doi:https://doi.org/10.1080/0015198X.2020.1816366.
- Markowitz, H. M. 1959. Portfolio selection: Efficient diversification in investments. 1st ed. New York, NY: John Wiley & Sons.
- Oikonomou, I., E. Platanakis, and C. Sutcliffe. 2018. Socially responsible investment portfolios: Does the optimization process matter? British Accounting Review 50 (4):379–401. doi:https://doi.org/10.1016/j.bar.2017.10.003.
- Pedersen, L., S. Fitzgibbons, and L. Pomorski. 2020. Responsible investing: The ESG-efficient frontier? Journal of Financial Economics. doi:https://doi.org/10.1016/j.jfineco.2020.11.001.
- Renneboog, L., J. Ter Horst, and C. Zhang. 2008. Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking and Finance 32 (9):1723–42. doi:https://doi.org/10.1016/j.jbankfin.2007.12.039.
- Shafer, M., and E. Szado. 2020. Environmental, social, and governance practices and perceived tail risk. Accounting and Finance 60 (4):4195–224. doi:https://doi.org/10.1111/acfi.12541.
- Trinks, P. J., and B. Scholtens. 2017. The opportunity cost of negative screening in socially responsible investing. Journal of Business Ethics 140 (2):193–208. doi:https://doi.org/10.1007/s10551-015-2684-3.