Effect of Esg Performance on Portfolio Performance – a Study of Portfolios of Nifty-indexed Stocks in India

Effect of Esg Performance on Portfolio Performance – a Study of Portfolios of Nifty-indexed Stocks in India | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article Effect of Esg Performance on Portfolio Performance – a Study of Portfolios of Nifty-indexed Stocks in India Rajeev Rajan, N. Sivakumar This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-5744956/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract Environmental Social and Governance (ESG) based investing has gained traction in the current times. In order to become popular and gain acceptance, it would be useful to show that portfolios comprising stocks of companies with higher ESG scores provide superior risk adjusted returns in comparison to portfolios created out of stocks of corporates with lower ESG scores. The current paper attempts to study this, using portfolios constructed out of stocks comprising the NIFTY index in the Indian capital market. Using a quantile approach, the study compares the risk adjusted returns of portfolios using three measures namely Sharpe ratio, Treynor ratio and Jensen’s alpha for a period of nine years from 2014-15 to 2022-23. The results show that on the overall, portfolios with stocks of companies with higher ESG ratings provide higher risk-adjusted returns compared to portfolios with stocks of companies with lower ESG scores. JEL Classification Code: G110 ESG Risk-adjusted Portfolio Returns NIFTY ESG Investing Portfolio management Full Text Additional Declarations No competing interests reported. Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. Our growing team is made up of researchers and industry professionals working together to solve the most critical problems facing scientific publishing. Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-5744956","acceptedTermsAndConditions":true,"allowDirectSubmit":true,"archivedVersions":[],"articleType":"Research Article","associatedPublications":[],"authors":[{"id":396841134,"identity":"1bfd5571-373d-42c3-8eff-6e28c5ba9d21","order_by":0,"name":"Rajeev Rajan","email":"","orcid":"","institution":"Sri Sathya Sai Institute of Higher Learning","correspondingAuthor":false,"prefix":"","firstName":"Rajeev","middleName":"","lastName":"Rajan","suffix":""},{"id":396841135,"identity":"048d2d20-0987-4987-87e8-a89cd98b3861","order_by":1,"name":"N. 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