E-momentum strategy is not effective. Second, S-E-momentum strategy is still not effective, but P1S1 has a significant excess return respectively 1.90% and 1.65% with J={12}, K={6, 9}.
At last, P1G1 has the higher level of significance return with J={12}, K={6, 9}, and they are respectively 1.82% and 1.88%. In addition, the strategy of G-momentum strategy works with J={12}, K={12} as we buy P1G1 and sell P5G5 and hold for 12 months could earn 0.93%
at average, and it shows that the loser with the lowest governance score may easily be underestimated, while the winner with the highest governance score may be overestimated.
<Insert Table6 here >
4.5 ESG-momentum strategy on small size firms during 2010 to 2017
As we want to remove the impact from financial crisis period that reducing the power of price momentum and investigate if momentum strategy could earn by small size (price multiples shares outstanding) firm, we adjust the data used period to 2010 to 2017 and make group of firms with ESG-Score into 5 groups, and only use the smallest 10% size to analyze.
<Insert Table7 here >
In Table7, we show the detailed returns with 12-month formation period from 25 group we divided into, and they are all small firms.
Panel B presents that small size ESG-momentum with 6-month holding period and we could observe that strategy with buying P4ESG5 and selling P4ESG1 would have a significantly negative return of 7.17%. It could mean that the market underestimated the stock of ESG1, so it has a rebound after 6 months, or more accurately, its lack of disclosure reduces
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the efficiency of market, so it takes higher premium than ESG5.
Panel C presents with 9-month holding period, and there are 2 strategies work. First, longing P5ESG5 and shorting P1ESG1 would have a significantly negative return 13.73%, and secondly, even longing P5ESG5 and shorting P5ESG1, which are both winner portfolios, would have a significantly negative return 14.36%. Base on the results above, we conclude that market inefficient occurs while the firm size is small, so the return of stocks is easy to be underestimated or overestimated. When the good news happened, and the stock with high ESG-Score, these small companies could be overestimated, and conversely, when the bad news happened, these small companies with low ESG-Score could easily be underestimated.
In Panel D with 12-month holding period, longing P5ESG5 and shorting P5ESG1 would have a significantly negative return 11.60%, and longing P5ESG5 and shorting P5ESG1, which are both winner portfolios, would have a significantly negative return 11.91%. The result is like Panel C, revealing the small size market inefficient, so our strategy works.
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5 Future Research and Conclusion
In the past centuries, there have been many papers extended the price momentum strategy and added factors from financial statements to try and find ways to get excess returns, such as Chordia and Shivakumar (2006) trying price-earnings momentum or Chen, Chen, Hsin, and Lee (2014) considering price, revenue and earnings at the same time.
However, this study combines the price momentum strategy with the ESG (Environmental, Social, Corporate Governance) score on Bloomberg to make a different extension from previous researches and papers. In this thesis, we focus on if considering ESG-Score and the past return at the same time could form a better momentum strategy.
For future researches, they could extend this thesis to use ESG performance scores as variables, not only ESG disclosure scores, maybe it would receive another opinion. Besides, grouping and the selection of the data period would also be a big issue, such as observing whether the January effect will affect the profits of the momentum strategies, or trying to find whether constructing a strategy of buying and selling matching firms with and without ESG-Scores at the same time would earn excess returns.
For conclusion, as we use the full data sample of all companies with ESG-Score on Bloomberg in the U.S. market from January 2004 to December 2017, we could not earn a significantly excess return from price momentum strategy, ESG strategy and ESG-momentum strategy. The result is like Bauer, Koedijk, and Otten (2005) conclude that there is no significant difference in compensation between ESG funds and general funds.
We infer that the reason why momentum invalid is because only company disclosures its ESG movement on annual reports, sustainability reports, press release and third-party research would be scored at Bloomberg. It causes the database we use for momentum strategy failed to work, because the data we selected are usually big, high transparent, and maybe they are doing good thing, so they are willing to disclosure more, is like Gelb and Strawser (2001) indicate a
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positive relationship between corporate social responsibility and disclosure level. Even E-momentum and S-E-momentum strategy do not have a significant excess return, and only buying P1G1 (loser with the lowest G score) and selling P5G5 (winner with the highest G score) and hold for 12 months could earn 0.93%.
On the other hand, momentum strategy usually works in the inefficient market with information asymmetry, and Tamimi and Sebastianelli (2017) present that large-cap companies have significantly higher ESG disclosure scores than mid-cap companies, so we try to use the small size (price multiples shares outstanding) data, which is the smallest 10% size in our dataset, to conduct the ESG-momentum strategy, and hope it could let the momentum strategy work.
We could find that buying small size P1ESG1 (loser with the lowest ESG score) and selling small size P5ESG5 (winner with the highest ESG score) and hold for 9 months and 12 months could respectively earn 13.73% and 11.60%. Therefore, we infer that the small size company stocks are less inefficient in Fama and French (1993), and even it has ESG-Score, it’s easy to be underestimated or overestimated. When the good news happened, and the small companies with high ESG-Score could be overestimated, and conversely, when the bad news happened, and the ESG-Score is low, these small companies could easily be underestimated.
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moderating role of disclosure, Global Finance Journal 38, 45-64.
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Table 1 Summary statistics for major variables
This table reports summary descriptive statistics for all variables, including ESG-Score, E-Score, S-Score, G-Score, monthly return and firm numbers. The sample period is from 2004 to 2017. Panel A is the summary statistics during the whole period. Panel B classifies variables to different year.
Panel A. Summary Statistics
Obs. Mean Std. Median Min Max
ESG-Score 23772 17.0112 10.1203 13.2200 0.8800 77.2700 E-Score 4907 20.8287 17.4478 15.5000 0.7800 82.1700 S-Score 14074 15.8820 13.1855 8.7700 1.0000 86.6700 G-score 23652 51.0091 5.8219 51.7900 1.0000 85.7100 Monthly Return 271469 0.0128 0.1150 0.0105 -0.8784 3.7954
# of firms 3525
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Panel B. Distribution of ESG scores
ESG-Score E-Score S-Score G-Score
Year Obs. Mean Median Std. Mean Median Std. Mean Median Std. Mean Median Std.
2005 141 19.0328 14.4600 9.3504 19.0044 15.5000 12.5432 13.7223 8.7700 12.4780 51.4963 51.7900 7.0551 2006 237 21.9951 17.3600 10.8852 20.3244 17.8300 13.2463 15.8952 8.7700 14.5093 53.0908 51.7900 6.5964 2007 878 17.2703 14.0500 9.1471 16.3131 12.4550 14.2605 12.8141 8.7700 12.8093 51.2682 51.7900 5.5222 2008 1249 17.2245 14.0500 9.4661 17.2588 12.4500 15.1816 12.3666 8.7700 12.4117 50.9839 51.7900 6.3438 2009 1316 17.5305 14.0500 10.3294 18.9746 13.9500 17.4583 13.0755 8.7700 12.9108 51.1487 51.7900 6.4155 2010 2463 15.5246 11.9800 8.8966 19.5920 13.9500 16.9398 13.5591 8.7700 12.9895 50.3770 48.2100 5.3134 2011 2656 15.5477 11.9800 9.1429 21.0587 17.0500 17.4812 14.3673 8.7700 12.9563 50.4267 48.2100 5.2566 2012 2758 16.1896 12.7200 9.7505 22.0864 17.0500 17.9493 15.4645 8.7700 13.1224 50.3442 48.2100 5.6252 2013 2791 16.6507 12.8100 10.1592 22.6046 17.0500 17.9910 16.6931 14.0400 13.0132 50.5534 48.2100 5.8723 2014 2806 17.0541 12.9200 10.3478 22.1887 16.2800 18.1735 17.2791 14.0400 13.1233 50.9220 48.2100 5.6933 2015 2817 17.3663 13.2200 10.6021 22.1811 16.2800 18.2214 17.8268 14.0400 13.3236 51.1211 51.7900 5.8620 2016 2640 17.8411 14.0400 10.5877 21.4862 15.5000 17.6073 18.3195 14.0400 12.9059 51.7287 51.7900 5.8013 2017 1014 21.7770 16.5300 11.8757 20.9249 13.2850 18.4085 19.4401 17.3650 12.8396 54.4647 51.7900 6.1472 2005-2017 23766 17.0113 13.2200 10.1203 20.8287 15.5000 17.4460 15.8831 8.7700 13.1856 51.0089 51.7900 5.8218
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Table 2 Returns to price momentum strategies
This table reports the holding period returns of each groups classify by the past returns and price momentum strategy (P5-P1) during 2004 to 2017. P1 is the portfolio with the lowest ranking-period returns, P2 is the second lowest ranking-period returns, and so on. Panel A with 3-month and 6-month formation period, and Panel B with 9-month and 12-month formation period. ***, **, and * indicate statistical significance at the 1%, 5%, and 10 % level, respectively.
Panel A. Formation period of portfolio is 3 months and 6 months
Formation period 3 months 6 months
Holding period 3 months 6 months 9 months 12 months 3 months 6 months 9 months 12 months
Panel B. Formation period of portfolio is 9 months and 12 months
Formation period 9 months 12 months
Holding period 3 months 6 months 9 months 12 months 3 months 6 months 9 months 12 months
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Table 3 Returns to ESG strategies
This table reports excess returns of each groups classify by ESG-Score, E-Scores, S-Scores, G-Scores and ESG strategy (ESG5-ESG1) during 2005 to 2017.
ESG1 is the portfolio with the lowest ESG-Score, ESG2 is the second lowest ESG-Score, and so on. Panel A and Panel B based on ESG-Score, Panel C and Panel D based on E-Score, Panel E and Panel F based on S-Score and Panel G and Panel H based on G-Score. ***, **, and * indicate statistical significance at the 1%, 5%, and 10 % level, respectively.
Panel A. Investment strategy based on ESG-Score with 3-month and 6-month holding period
3-month holding period 6-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
Panel B. Investment strategy based on ESG-Score with 9-month and 12-month holding period 9-month holding period 12-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
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Panel C. Investment strategy based on E-Score with 3-month and 6-month holding period
3-month holding period 6-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
E1(Low) 0.0075 0.0068 0.0068 0.0076 0.0105* 0.0099*
E2 0.0097* 0.0098* 0.0100* 0.0106** 0.0129** 0.0128**
E3 0.0077 0.0078 0.0077 0.0075 0.0103* 0.0100*
E4 0.0078* 0.0075 0.0079 0.0073 0.0092* 0.0085*
E5(High) 0.0069 0.0060 0.0065 0.0072* 0.0088* 0.0088*
E5-E1 -0.0006 -0.0008 -0.0003 -0.0004 -0.0017 -0.0011
Panel D. Investment strategy based on E-Score with 9-month and 12-month holding period
9-month holding period 12-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
E1(Low) 0.0078 0.0100* 0.0103* 0.0070 0.0054 0.0063
E2 0.0113** 0.0134** 0.0130** 0.0103* 0.0094* 0.0099*
E3 0.0070 0.0089* 0.0089* 0.0072 0.0062 0.0072
E4 0.0101** 0.0119** 0.0116** 0.0082* 0.0078* 0.0089*
E5(High) 0.0067 0.0082* 0.0078* 0.0081 0.0072 0.0078
E5-E1 -0.0011 -0.0018 -0.0025 0.0011 0.0018 0.0015
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Panel E. Investment strategy based on S-Score with 3-month and 6-month holding period
3-month holding period 6-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
S1(Low) 0.0092* 0.0085 0.0087 0.0095* 0.0127 0.0122**
S2 0.0100* 0.0106* 0.0107* 0.0111* 0.0147*** 0.0140**
S3 0.0094* 0.0092* 0.0093* 0.0099* 0.0127** 0.0121**
S4 0.0098* 0.0100* 0.0101* 0.0095* 0.0123** 0.0117**
S5(High) 0.0076* 0.0072* 0.0076* 0.0070* 0.0083* 0.0080*
S5-S1 -0.0016 -0.0013 -0.0011 -0.0025 -0.0044 -0.0042
Panel F. Investment strategy based on S-Score with 9-month and 12-month holding period
9-month holding period 12-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
S1(Low) 0.0098* 0.0116 0.0115* 0.0105* 0.0084 0.0090
S2 0.0117* 0.0150*** 0.0149*** 0.0103* 0.0094* 0.0106*
S3 0.0093 0.0114* 0.0114* 0.0092 0.0078 0.0087
S4 0.0107** 0.0133*** 0.0133*** 0.0089* 0.0080 0.0087*
S5(High) 0.0074* 0.0086* 0.0084* 0.0072* 0.0066 0.0075*
S5-S1 -0.0024 -0.0030 -0.0031 -0.0033 -0.0018 -0.0015
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Panel G. Investment strategy based on G-Score with 3-month and 6-month holding period
3-month holding period 6-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
G1(Low) 0.0095* 0.0091* 0.0091* 0.0122** 0.0142*** 0.0138***
G2 0.0155** 0.0139* 0.0143* 0.0141* 0.0196** 0.0189**
G3 0.0067 0.0089 0.0092 0.0081 0.0078 0.0072
G4 0.0090* 0.0082 0.0085 0.0086* 0.0119** 0.0112**
G5(High) 0.0086* 0.0082* 0.0084* 0.0077* 0.0096* 0.0094*
G5-G1 -0.0009 -0.0009 -0.0007 -0.0045 -0.0046 -0.0044
Panel H. Investment strategy based on G-Score with 9-month and 12-month holding period
9-month holding period 12-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
G1(Low) 0.0126** 0.0143*** 0.0141*** 0.0116** 0.0098* 0.0104*
G2 0.0132 0.0226** 0.0227** 0.0092 0.0056 0.0065
G3 0.0082 0.0078 0.0074 0.0088 0.0082 0.0088
G4 0.0090* 0.0112** 0.0111** 0.0076 0.0064 0.0075
G5(High) 0.0092* 0.0111** 0.0111** 0.0086* 0.0078* 0.0087*
G5-G1 -0.0034 -0.0032 -0.003 -0.003 -0.002 -0.0017
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Table 4 Returns to ESG-momentum strategies
This table reports excess returns of the loser with the lowest ESG-Score (P1ESG1), the winner with the highest ESG-Score (P5ESG5) and the zero-cost strategy of buying P5ESG5 and selling P1ESG1 at the same time during 2005 to 2017. Panel A and Panel B based on 3-month formation period, Panel C and Panel D based on 6-month, Panel E and Panel F based on 9-month and Panel G and Panel H based on 12-month. ***, **, and * indicate statistical significance at the 1%, 5%, and 10 % level, respectively.
Panel A. 3-month formation period with 3-month and 6-month holding period
3-month holding period 6-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
P1ESG1 0.0090 0.0111 0.0111 0.0100 0.0152** 0.0153**
(1.63) (1.90) (1.90) (1.68) (2.60) (2.61)
P5ESG5 0.0086 0.0079 0.0085 0.0101* 0.0129* 0.0121*
(1.85) (1.62) (1.72) (1.97) (2.43) (2.27)
P5ESG5-P1ESG1 -0.0004 -0.0032 -0.0026 0.0001 -0.0023 -0.0032
(-0.10) (-0.66) (-0.60) (0.13) (-0.72) (-0.88)
Panel B. 3-month formation period with 9-month and 12-month holding period
9-month holding period 12-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
P1ESG1 0.0118* 0.0143* 0.0142* 0.0124 0.0111 0.0122
(2.05) (2.49) (2.46) (1.92) (1.68) (1.86)
P5ESG5 0.0093 0.0104* 0.0095 0.0027 0.0018 0.0025
(1.90) (2.07) (1.87) (0.59) (0.38) (0.51)
P5ESG5-P1ESG1 -0.0025 -0.0039 -0.0047 -0.0097* -0.0093 -0.0098*
(-0.62) (-0.97) (-1.18) (-2.01) (-1.92) (-2.19)
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Panel C. 6-month formation period with 3-month and 6-month holding period
3-month holding period 6-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
P1ESG1 0.0079 0.0095 0.0101 0.0101 0.0143* 0.0137*
(1.30) (1.50) (1.61) (1.66) (2.38) (2.26)
P5ESG5 0.0081 0.0073 0.0083 0.0068 0.0082 0.0074
(1.75) (1.47) (1.67) (1.37) (1.56) (1.40)
P5ESG5-P1ESG1 0.0002 -0.0022 -0.0018 -0.0033 -0.0062 -0.0063
(0.19) (-0.70) (-0.54) (-0.85) (-1.49) (-1.52)
Panel D. 6-month formation period with 9-month and 12-month holding period
9-month holding period 12-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
P1ESG1 0.0172* 0.0213** 0.0205** 0.0126 0.0100 0.0118
(2.22) (2.73) (2.61) (1.79) (1.41) (1.66)
P5ESG5 0.0049 0.0067 0.0057 0.0045 0.0034 0.0040
(1.04) (1.41) (1.21) (1.00) (0.74) (0.86)
P5ESG5-P1ESG1 -0.0124 -0.0146* -0.0148* -0.0081 -0.0066 -0.0078
(-1.82) (-2.18) (-2.13) (-1.41) (-1.20) (-1.44)
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Panel E. 9-month formation period with 3-month and 6-month holding period
3-month holding period 6-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
P1ESG1 0.0086 0.0111 0.0108 0.0162* 0.0235** 0.0222**
(1.37) (1.64) (1.61) (1.99) (2.95) (2.79)
P5ESG5 0.0056 0.0042 0.0047 0.0051 0.0068 0.0059
(1.13) (0.80) (0.88) (1.08) (1.41) (1.20)
P5ESG5-P1ESG1 -0.0031 -0.0069 -0.0061 -0.0111 -0.0168* -0.0163*
(-0.88) (-1.52) (-1.44) (-1.58) (-2.46) (-2.32)
Panel F. 9-month formation period with 9-month and 12-month holding period
9-month holding period 12-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
P1ESG1 0.0136 0.0172* 0.0162* 0.0141 0.0111 0.0124
(1.73) (2.17) (2.03) (1.81) (1.40) (1.55)
P5ESG5 0.0071 0.0088 0.0081 0.0074 0.0062 0.0069
(1.37) (1.68) (1.52) (1.66) (1.35) (1.51)
P5ESG5-P1ESG1 -0.0065 -0.0084 -0.0082 -0.0067 -0.0049 -0.0055
(-0.97) (-1.27) (-1.17) (-1.02) (-0.86) (-1.01)
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Panel G. 12-month formation period with 3-month and 6-month holding period
3-month holding period 6-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
P1ESG1 0.0132 0.0136 0.0131 0.0156 0.0237** 0.0224**
(1.67) (1.63) (1.58) (1.79) (2.80) (2.66)
P5ESG5 0.0033 0.0029 0.0032 0.0097* 0.0116** 0.0107**
(0.72) (0.59) (0.64) (2.33) (2.74) (2.52)
P5ESG5-P1ESG1 -0.0099 -0.0107 -0.0099 -0.0059 -0.0121 -0.0117
(-1.53) (-1.65) (-1.52) (-0.64) (-1.44) (-1.31)
Panel H. 12-month formation period with 9-month and 12-month holding period
9-month holding period 12-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
P1ESG1 0.0156 0.0200* 0.0194* 0.0154* 0.0121 0.0132
(1.90) (2.44) (2.35) (2.01) (1.56) (1.72)
P5ESG5 0.0071 0.0085 0.0078 0.0073 0.0066 0.0073
(1.58) (1.88) (1.71) (1.70) (1.51) (1.66)
P5ESG5-P1ESG1 -0.0086 -0.0115 -0.0116 -0.0081 -0.0056 -0.0059
(-1.06) (-1.53) (-1.48) (-1.10) (-0.85) (-1.01)
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Table 5 Returns to ESG-momentum portfolios
This table reports the detailed excess returns of 25 groups we divided into, which are the pairs of 5 past-return groups and 5 ESG-Score groups with 12-month formation period. The rightmost column and the bottommost column are the result of group subtraction. Panel A with 3-month holding period, Panel B with 6-month holding period, Panel C with 9-6-month holding period and Panel D with 12-6-month holding period. ***, **, and * indicate statistical significance at the 1%, 5%, and 10 % level, respectively.
Panel A. 12-month formation period with 3-month holding period
ESG1(Low) ESG2 ESG3 ESG4 ESG5(High)
0.0005 -0.0012 -0.0041 -0.0134* -0.0055 -0.0031
Panel B. 12-month formation period with 6-month holding period
ESG1(Low) ESG2 ESG3 ESG4 ESG5(High)
-0.0048 -0.006 -0.0092 -0.0073 -0.0009 0.0042
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Panel C. 12-month formation period with 9-month holding period
ESG1(Low) ESG2 ESG3 ESG4 ESG5(High)
P1(Loser) 0.0156* 0.0150* 0.0132 0.0166* 0.0057 -0.0088
P2 0.0112* 0.0150*** 0.0112* 0.0086 0.0094* -0.0017
P3 0.0111** 0.0086 0.0129** 0.0075 0.0085** -0.0028
P4 0.0118* 0.0099* 0.0071 0.0096** 0.0088* -0.0029
P5(Winner) 0.0123* 0.0121* 0.0030 0.0085 0.0071 -0.0051
-0.0033 -0.0029 -0.0102 -0.0081 0.0014 0.0037
Panel D. 12-month formation period with 12-month holding period
ESG1(Low) ESG2 ESG3 ESG4 ESG5(High)
P1(Loser) 0.0154* 0.0182** 0.0084 0.0105 0.0120 -0.0052
P2 0.0062 0.0164** 0.0155** 0.0059 0.0081 0.0020
P3 0.0080 0.0073 0.0111** 0.0044 0.0071* 0.0007
P4 0.0115** 0.0117** 0.0095* 0.0072 0.0087** -0.0029
P5(Winner) 0.0074 0.0019 0.0061 0.0112* 0.0073 -0.0001
-0.008 -0.0163 -0.0023 0.0007 -0.0047 0.0051
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Table 6 Contributions of E, S and G in ESG-momentum strategies
This table reports excess returns of the loser with the lowest E-Score (P1E1), the winner with the highest E-Score (P5E5) and the zero-cost strategy of buying P5E5 and selling P1E1 at the same time, so do the S-Score and G-Score with 12-month formation period. Panel A and Panel B based on E-momentum strategies, Panel C and Panel D S-momentum strategies, Panel E and Panel F based on G-momentum strategies. ***, **, and * indicate statistical significance at the 1%, 5%, and 10 % level, respectively.
Panel A. E-momentum strategies (12-month formation period with 3-month and 6-month holding period) 3-month holding period 6-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
Panel B. E-momentum strategies (12-month formation period with 9-month and 12-month holding period) 9-month holding period 12-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
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Panel C. S-momentum strategies (12-month formation period with 3-month and 6-month holding period) 3-month holding period 6-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
P1S1 0.0143 0.0148 0.0144 0.0130 0.0199** 0.0190*
(1.73) (1.72) (1.68) (1.65) (2.60) (2.48)
P5S5 0.0004 -0.0002 0.0001 0.0055 0.0068 0.0059
(0.09) (-0.03) (0.02) (1.29) (1.56) (1.35)
P5S5-P1S1 -0.0139 -0.0150 -0.0143 -0.0075 -0.0131 -0.0131
(-1.81) (-1.93) (-1.81) (-1.11) (-1.91) (-1.82)
Panel D. S-momentum strategies (12-month formation period with 9-month and 12-month holding period) 9-month holding period 12-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
P1S1 0.0140 0.0168* 0.0165* 0.0165* 0.0124 0.0136
(1.80) (2.12) (2.06) (1.98) (1.49) (1.64)
P5S5 0.0058 0.0073 0.0067 0.0062 0.0053 0.0059
(1.25) (1.55) (1.41) (1.38) (1.16) (1.29)
P5S5-P1S1 -0.0082 -0.0095 -0.0098 -0.0103 -0.0071 -0.0077
(-1.21) (-1.43) (-1.39) (-1.48) (-1.15) (-1.30)
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Panel E. G-momentum strategies (12-month formation period with 3-month and 6-month holding period) 3-month holding period 6-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
P1G1 0.0102 0.0111 0.0109 0.0140* 0.0191** 0.0182**
(1.60) (1.67) (1.63) (2.09) (2.89) (2.75)
P5G5 0.0054 0.0057 0.0056 0.0094* 0.0113* 0.0103*
(1.14) (1.13) (1.09) (2.10) (2.49) (2.24)
P5G5-P1G1 -0.0048 -0.0054 -0.0053 -0.0046 -0.0078 -0.0079
(-1.06) (-1.25) (-1.13) (-0.88) (-1.63) (-1.59)
Panel F. G-momentum strategies (12-month formation period with 9-month and 12-month holding period) 9-month holding period 12-month holding period
Return CAPM Alpha FF3 Alpha Return CAPM Alpha FF3 Alpha
P1G1 0.0156* 0.0193** 0.0188** 0.0155* 0.0124 0.0132*
(2.35) (2.92) (2.83) (2.41) (1.90) (2.03)
P5G5 0.0096* 0.0117* 0.0114* 0.0037 0.0033 0.0039
(1.98) (2.43) (2.31) (0.77) (0.66) (0.77)
P5G5-P1G1 -0.006 -0.0076 -0.0074 -0.0118* -0.0091 -0.0093*
(-1.36) (-1.86) (-1.86) (-2.15) (-1.83) (-2.06)
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Table 7 Returns to small size ESG-momentum portfolios from 2010 to2017
This table reports the detailed excess returns of 25 groups we divided into, which are the pairs of 5 past-return groups and 5 ESG-Score groups with 12-month formation period, and their size are the smallest 10% during 2010 to 2017. The rightmost column and the bottommost column are the result of group subtraction.
Panel A with 3-month holding period, Panel B with 6-month holding period, Panel C with 9-month holding period and Panel D with 12-month holding period.
***, **, and * indicate statistical significance at the 1%, 5%, and 10 % level, respectively.
Panel A. 12-month formation period with 3-month holding period
ESG1(Low) ESG2 ESG3 ESG4 ESG5(High)
P1(Loser) 0.0203** 0.0207* 0.0205* 0.0127 0.0614 0.0411
P2 0.0130 0.0072 0.0327** 0.0184 0.0337 0.0207
P3 0.0163* 0.0021 0.0026 0.0331 0.0288 0.0125
P4 0.0065 0.0267* 0.0186* 0.0344* -0.0601 -0.0666
P5(Winner) 0.0117 0.0095 0.0050 0.0182 -0.0539 -0.0656
-0.0086 -0.0112 -0.0155 0.0055 -0.1153 -0.0742
Panel B. 12-month formation period with 6-month holding period
ESG1(Low) ESG2 ESG3 ESG4 ESG5(High)
P1(Loser) 0.0081 0.0167 0.0101 0.0178 0.1035 0.0954
P2 0.0130 0.0147* 0.0199* -0.0005 -0.1132 -0.1262
P3 0.0019 0.0183* 0.0057 0.0207 -0.1104 -0.1123
P4 0.0157* 0.0106 0.0054 0.0547* 0.0874** 0.0717**
P5(Winner) 0.0184* 0.0147 0.0038 0.0100 -0.0509 -0.0693
0.0103 -0.0020 -0.0063 -0.0078 -0.1544 -0.0590
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Panel C. 12-month formation period with 9-month holding period
ESG1(Low) ESG2 ESG3 ESG4 ESG5(High)
P1(Loser) 0.0059 0.0070 0.0038 0.0272 0.1157 0.1098
P2 0.0113 0.0199* 0.0092 0.0109 0.0091 -0.0021
P3 0.0107 0.0152 0.0394 0.0127 -0.0858 -0.0965
P4 0.0102 0.0216* 0.0153 0.0142 0.0986 0.0884
P5(Winner) 0.0122 0.0143 0.0265 0.0038 -0.1314** -0.1436**
0.0063 0.0073 0.0227 -0.0234 -0.2471 -0.1373*
Panel D. 12-month formation period with 12-month holding period
ESG1(Low) ESG2 ESG3 ESG4 ESG5(High)
P1(Loser) 0.0123 0.0170 0.0175 0.0374 0.1587 0.1464
P2 0.0024 0.0099 -0.0048 0.0511 -0.1158 -0.1182
P3 0.0158* 0.0036 0.0006 0.0048 -0.0276 -0.0434
P4 0.0175* 0.0143 0.0031 -0.0107 -0.0997 -0.1172
P5(Winner) 0.0154* 0.0125 0.0360** 0.0056 -0.1037 -0.1191*
0.0031 -0.0045 0.0185 -0.0318 -0.2624 -0.1160*
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Figure 1 Distribution of ESG-Scores
This figure reports the distribution of ESG-Scores, E-Scores, S-Scores and G-Scores separately by year, and it’s more easy for us to observe the trend of each scores. We can also compare them from Figure1.5. Data period is from 2005 to 2017.
Figure 1.1 Distribution of ESG-Scores Figure 1.2 Distribution of E-Scores
0 5 10 15 20 25
2004 2006 2008 2010 2012 2014 2016 2018 0
5 10 15 20 25
2004 2006 2008 2010 2012 2014 2016 2018
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Figure 1.3 Distribution of S-Scores Figure 1.4 Distribution of G-Scores
0 5 10 15 20 25
2004 2006 2008 2010 2012 2014 2016 2018 50
50.5 51 51.5 52 52.5 53 53.5 54 54.5 55
2004 2006 2008 2010 2012 2014 2016 2018
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Figure 1.5 Distribution of ESG-Scores, E-Scores, S-Scores and G-Scores
0 10 20 30 40 50 60
2004 2006 2008 2010 2012 2014 2016 2018
ESG-Score E-Score S-Score G-Score