Researcher ORCID Identifier


Graduation Year


Date of Submission


Document Type

Campus Only Senior Thesis

Degree Name

Bachelor of Arts



Reader 1

George Batta

Rights Information

©2021 Trishul Raja


ESG investing has exploded into popularity in recent years alongside corporate adoption of ESG policies. With the constant search for factors that explain asset pricing, it is important to explore how much of an impact ESG has on the price of assets. The most reliable proxies for ESG information now are the ESG scores graded by various third-party sources such as Sustainalytics and Thomson Reuters.

In this thesis I draw from the methodology set out by Feng, Giglio, and Xiu in their 2020 paper “Taming the Factor Zoo” to assess whether – and to what extent – ESG scores add explanatory power to asset pricing relative to the several factors that have already been empirically tested in the past few decades. Using a double-pass method which includes two LASSO regressions followed by an OLS regression, I find that ESG scores do not have significant explanatory power relative to the set of factors that I used.

This thesis is restricted to the Claremont Colleges current faculty, students, and staff.