Sustainable finance and environmental, social, and governance (ESG) issues have garnered significant attention in both industry and academia. However, the lack of consensus on these concepts has led to confusion about their impact on investors and markets, hindering the interpretation of empirical data and the development of effective regulations. This highlights the need for transparent analyses from the finance research community. By reviewing recent asset pricing literature to determine if it has effectively identified an ESG factor, the paper examines theoretical models linking ESG factors to asset performance, with differing views on whether high-ESG firms yield lower returns due to reduced risk or outperform due to sustainable practices and market sentiment. The paper also reviews empirical studies, presenting findings on whether green assets outperform brown assets in financial markets. The paper contributes to the debate on integrating ESG into investment strategies without compromising returns, providing practical insights for investors and policymakers navigating responsible investing.

可持续金融以及环境、社会和治理（ESG）问题引起了工业界和学术界的高度关注。然而，对这些概念缺乏共识，导致人们对其对投资者和市场的影响感到困惑，阻碍了经验数据的解释和有效监管的制定。这凸显了金融研究界进行透明分析的必要性。通过回顾最近的资产定价文献以确定其是否有效识别了 ESG 因素，本文研究了将 ESG 因素与资产绩效联系起来的理论模型，对于高 ESG 公司是否因风险降低而产生较低回报或因可持续发展而跑赢大盘持不同观点。做法和市场情绪。本文还回顾了实证研究，提出了金融市场中绿色资产是否优于棕色资产的研究结果。该论文推动了关于在不影响回报的情况下将 ESG 纳入投资策略的辩论，为投资者和政策制定者引导负责任的投资提供了实用的见解。