Graduation Year


Date of Submission


Document Type

Campus Only Senior Thesis

Degree Name

Bachelor of Arts



Reader 1

Benjamin Gillen

Rights Information

@2023 Kexin Wang


ESG companies have demonstrated superior past financial returns than their non-ESG counterparts on average. This differential in performance provides an opportunity to better understand the differential in risks generating these returns. Regressing CRSP monthly stock return data of publicly traded companies with Fama-French monthly factor indexes, I found alpha and beta factors of the Fama-French regression model for ESG and non-ESG universes. Then, using T-test, histograms, and boxplots, I compared the empirical results of the two groups. The results show that ESG firms have a greater advantage in their risk-related factor, market return (Mkt), and a smaller advantage in their idiosyncratic return performance (alpha). However, there were no significant benefits observed from the Small-Minus-Big (SMB), High-Minus-Low (HML), and Momentum (Mom) factors. Overall, the findings suggest that the outperformance of ESG firms mainly comes from the risk-related factor, market return.

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