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Did ESG portfolio augment investors’ wealth during Covid19? Evidence from Indian stock market

Kirti Sood (School of Management, Doon University, Dehradun, India)
Kumar Arijit (School of Management, Doon University, Dehradun, India)
Prachi Pathak (School of Management, Doon University, Dehradun, India)
H.C. Purohit (School of Management, Doon University, Dehradun, India)

Sustainability Accounting, Management and Policy Journal

ISSN: 2040-8021

Article publication date: 22 December 2022

70

Abstract

Purpose

This paper aims to empirically examine the performance of the high-ESG (environment, social and governance) portfolio vis-à-vis the low-ESG portfolio at the Indian stock market before and during the Covid19 pandemic.

Design/methodology/approach

The absolute rate of return and several risk-adjusted performance measures, for instance, Sharpe ratio, Modigliani–Modigliani measure, Treynor ratio, Jensen’s alpha, information ratio, Fama’s decomposition measure and Fama and French’s three-factor model, have been used in this study along with the t-test.

Findings

All three indices (CARBONEX, GREENEX and BSE 500) had better returns during Covid19 period as compared to the pre-Covid19 period. However, these returns were not statistically significant. During Covid19, the risk of the indices also rose, but they provided better returns for the additional risk taken. Finally, it is concluded that the performance of high-ESG and low-ESG stock portfolios did not differ significantly in both periods.

Practical implications

The study is relevant to individual and institutional investors, financial advisors, portfolio managers, corporations, policymakers, market regulators and society at large.

Social implications

This study emphasized the need to expand the role of ESG investment in India for the benefit of people, communities and society as a whole.

Originality/value

This research is the first of its kind, to the best of the authors’ knowledge, that compares the performance of a high-ESG portfolio with a low-ESG portfolio both before and during the Covid19, particularly in the Indian context.

Keywords

Citation

Sood, K., Arijit, K., Pathak, P. and Purohit, H.C. (2022), "Did ESG portfolio augment investors’ wealth during Covid19? Evidence from Indian stock market", Sustainability Accounting, Management and Policy Journal, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/SAMPJ-02-2022-0087

Publisher

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Emerald Publishing Limited

Copyright © 2022, Emerald Publishing Limited

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