Researcher ORCID Identifier
0009-0006-9760-6923
Graduation Year
2023
Date of Submission
4-2023
Document Type
Open Access Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Reader 1
Eric Hughson
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2023 Elizabeth Iwicki
Abstract
In this paper, I estimate the monthly alpha of highly rated ESG stocks, with the motivation to assess the effects of ESG investors on public equity markets. I hypothesize, consistent with the motivating theory of Heinkel et al. (2001), that the shift in investor preferences toward ESG-friendly investments leads to the underperformance of a broad ESG portfolio relative to a portfolio of comparable stocks. I test my hypothesis using the methodology of Hong and Kacperczyk (2009) and Wallace (2022), where I apply the methods to an ESG portfolio rather than a “sin” portfolio. Consistent with my hypothesis, I find that ESG portfolio significantly underperforms the comparable companies through the 2006-2021 period.
Recommended Citation
Iwicki, Elizabeth, "Doing Well While Doing Good? The Cost of Responsible Investing" (2023). CMC Senior Theses. 3338.
https://scholarship.claremont.edu/cmc_theses/3338
