Editor’s Letter

Welcome to the Spring issue of The Journal of Impact & ESG Investing.

We open the issue with an article by Behringer, Bush, Dahlhaus, and Sidorovitch that uses 2012–2021 global data to examine the relationship between ESG and the quality factor. The authors find low score correlation but high return correlation between ESG and the quality factor.

Next, De Luca and Mehta utilize machine learning to analyze individual ESG investors. They classify those investors into five groups and determine how much they are interested in ESG and how much they have invested in ESG.

Jabłecki looks at the important topic of green bonds. The article examines green bond returns versus nongreen bond returns. It looks at factors that could cause over- and underperformance and finds that, when controlling for those effects, green bonds did not outperform over the period tested.

We follow with de Franco, Nicolle, Tran, and Demarolle, who look at the effect corporate governance has on performance. They create quantitative measures to assess governance that go beyond the classic approach that relies on the existence of allegedly good governance programs. They are able to establish a profile of effective and good corporate governance quantitatively, with a range of broad characteristics.

Kammoun and Tandja M. look at the effects of ESG on infrastructure. The authors argue that ESG risk ratings are more likely to matter for securities in highly visible sectors. They find that a lower ESG commitment is associated with higher performance during normal periods, and it is associated with lower performance during recessions or bear market periods.

Next, Marchessaux and Vaissié introduce an approach to enable investors to align their portfolios with their ESG preferences. They provide two ESG strategies that involve tilting the portfolio weights based on ESG risk.

We finish with a commentary by Orr Sharp and Jafarmadar, who discuss the current movement to discredit ESG investing.

As always, we welcome your submissions. We value your comments and suggestions, so please email us at journals{at}investmentresearch.org.

Brian R. Bruce

Editor-in-Chief

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