PT  - JOURNAL ARTICLE
AU  - Richard Paul Gregory
TI  - Market Efficiency in ESG Indexes: Trading Opportunities
AID  - 10.3905/jesg.2021.1.016
DP  - 2021 Mar 25
TA  - The Journal of Impact and ESG Investing
PG  - jesg.2021.1.016
4099  - https://pm-research.com/content/early/2021/03/25/jesg.2021.1.016.short
4100  - https://pm-research.com/content/early/2021/03/25/jesg.2021.1.016.full
AB  - Examining the returns of 16 ESG indexes, we found evidence that a few violate the conditions of weak-form efficiency and that all violate conditions for semi-strong form efficiency. Given previous research on market efficiency in the ESG market, this points to profitable trading opportunities in this market using public information. We also discuss why these results are not subject to previous criticisms of testing of market efficiency.TOPICS: ESG investing, mutual funds/passive investing/indexing, portfolio theory, financial crises and financial market historyKey Findings▪ We perform market efficiency tests of 32 indexes for 16 countries using the Hurst exponent.▪ In contrast to previous research, the tests find no difference in market efficiency between ESG and Standard indexes.▪ For all indexes, efficiency decreased during the Great Financial Crisis.