Using an international sample of environmental and social firm-level ratings between 2007 and 2019, we form synthetic overlapping region-based equity portfolios to examine the impact of screening stringency on abnormal returns and specific risk. While previous literature analyzes this relationship in a bidimensional setting, inferences made in this study are additionally robust to regional levels of market efficiency. Our results suggest that (1) screening stringency displays an inverted curvilinear relationship with risk-adjusted returns and (2) the impact on specific risk is strictly increasing. Thus, portfolios that employ marginal and substantial screening incur the cost of responsible investing. However, moderate screening has the benefit of increasing performance without the burden of financing the least responsible corporations.

中文翻译：

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筛选：增加价值还是减少价值？

我们使用 2007 年至 2019 年间环境和社会企业层面评级的国际样本，形成基于区域的综合重叠股票投资组合，以检验严格筛选对异常收益和特定风险的影响。虽然以前的文献在二维环境中分析了这种关系，但本研究中做出的推论对区域市场效率水平也很稳健。我们的结果表明 (1) 筛选严格度与风险调整后回报呈倒曲线关系，以及 (2) 对特定风险的影响严格增加。因此，采用边际和大量筛选的投资组合会产生负责任投资的成本。然而，适度的筛选具有提高绩效的好处，而无需为责任最少的公司提供资金。