Based on an extensive international dataset containing Thomson Reuters environmental, social and corporate governance (ESG) rating, as well as Thomson Reuters newest controversies and combined score of an average of 2500 companies in the years 2002–2018, this article contributes to the existing discourse of the relationship between corporate social performance and corporate financial performance (CFP) by examining the Fama and French (J Financ Econ 116(1):1–22, 2015) five-factor risk-adjusted performance of positive screened best and worst portfolios, based on a 10 $$\%$$ cutoff, respectively, for equally, value- and rank-weighted strategies in the European, US and global market. Furthermore, the controversies score allows us to examine the mid-to-long-term effects of scandals on the CFP without having to rely on the event study methodology. Even though a value-weighted strategy does not show any significant abnormal returns, we examined a significant outperformance for equally weighted worst ESG portfolios and best controversies strategies. These results strongly indicate that this is, on the one hand, driven by low-rated smaller companies (“small sinners”) and clean-coated firms with regard to controversies (“silent saints”) on the other hand. The findings hold for several robustness checks such as adjusting the cutoff rates or splitting the dataset across time.

中文翻译：

---

ESG争议和ESG争议：关于沉默的圣徒和小罪人

基于广泛的国际数据集，其中包含汤森路透的环境，社会和公司治理（ESG）评级，以及汤森路透的最新争议，并且在2002-2018年期间平均有2500家公司的综合评分，本文对现有论述做出了贡献通过研究Fama和法文（J Financ Econ 116（1）：1-22，2015年）对正筛选的最佳和最差投资组合进行五因素风险调整后的绩效，研究企业社会绩效与企业财务绩效（CFP）之间的关系，以欧洲，美国和全球市场的价值加权和排名加权策略分别为10 $$ \％$$截止为基础。此外，争议分数使我们能够检查丑闻对CFP的中长期影响，而不必依赖事件研究方法。即使价值加权策略没有显示任何显着的异常收益，我们也对同样加权的最差ESG投资组合和最佳争议策略研究了显着的业绩。这些结果强烈表明，一方面，这是由低评级的小公司（“小罪人”）和干净的公司（在争议方面（“沉默的圣徒”））驱动的。这些发现适用于多种健壮性检查，例如调整截止率或跨时间拆分数据集。另一方面，在争议方面（例如“沉默的圣徒”），由低评级的小公司（“小罪人”）和干净的公司所驱动。这些发现适用于多种稳健性检查，例如调整截止率或跨时间拆分数据集。另一方面，在争议方面（例如“沉默的圣徒”），由低评级的小公司（“小罪人”）和干净的公司所驱动。这些发现适用于多种健壮性检查，例如调整截止率或跨时间拆分数据集。