Using a sample of US stocks over the period 1991–2019, we test whether stocks with high exposure to a social index exhibit high returns. Using a univariate analysis, our in-sample results show that stocks with high sensitivities to the MSCI KLD 400 Social Index underperform stocks with low sensitivities by an annual risk-adjusted performance of 7.02%. The negative premium is also larger in the post-crisis period of 2007–2019 and is equal to 10.25%. The out-of-sample results offer, however, only weak evidence of such a finding, with a risk-adjusted performance difference of merely −0.84% over the full sample period and no significant differences between the pre-crisis and post-crisis periods. In the multivariate regression, we find evidence of a negative relationship between exposure to the social index and stock performance. Moreover, we find that stocks with high exposure to the social index display a low corporate social responsibility score, a high Tobin’s Q, high long-term debt, a large size, high total risk, a high market beta, a high SMB coefficient, a low HML coefficient, and a small MOM coefficient.

中文翻译：

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系统性 ESG 风险敞口和股票收益：来自美国 1991-2019 年期间的证据

我们使用 1991 年至 2019 年期间的美国股票样本，测试对社会指数具有高敞口的股票是否表现出高回报。通过单变量分析，我们的样本内结果显示，对 MSCI KLD 400 社会指数敏感度高的股票的年度风险调整后表现比敏感度低的股票低 7.02%。在 2007-2019 年的后危机时期，负溢价也更大，等于 10.25%。然而，样本外结果仅提供了这种发现的微弱证据，在整个样本期间，风险调整后的绩效差异仅为 -0.84%，危机前和危机后时期之间没有显着差异. 在多元回归中，我们发现了社会指数与股票表现之间存在负相关关系的证据。而且，Q，长期债务高，规模大，总风险高，市场贝塔系数高，SMB 系数高，HML 系数低，MOM 系数小。