Giglio et al (2023b)

Giglio, Stefano, Matteo Maggiori, Johannes Stroebel, Zhenhao Tan, Stephen Utkus, and Xiao Xu.  “Four Facts About ESG Beliefs and Investor Portfolios.”  Working Paper (Yale School of Management), 2023b.

From the authors’ abstract:

“We analyze survey data on ESG beliefs and preferences in a large panel of retail investors linked to administrative data on their investment portfolios. The survey elicits investors’ expectations of long-term ESG equity returns and asks about their motivations, if any, to invest in ESG assets. We document four facts. First, investors generally expected ESG investments to underperform the market… Second, there is substantial heterogeneity across investors in their ESG return expectations and their motives for ESG investing… Third, there is a link between individuals’ reported ESG investment motives and their actual investment behaviors, with the highest ESG portfolio holdings among individuals who report ethics-driven investment motives. Fourth, financial considerations matter independently of other investment motives: we find meaningful ESG holdings only for investors who expect these investments to outperform the market, even among those investors who reported that their most important ESG investment motives were ethical or hedging reasons.s.”

LK comment: Moskowitz Prize Honorable Mention, 2023

Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4415012