This paper shows how sustainable investing—through the joint practice of exclusionary screening and environmental, social, and governance (ESG) integration—affects asset returns. I develop an asset pricing model with partial segmentation and heterogeneous preferences. I characterize two exclusion premia generalizing Merton’s (1987) premium on neglected stocks and a taste premium that clarifies the relationship between ESG and financial performance. Focusing on U.S. stocks, I estimate the model by applying it to sin stocks as excluded assets and using the holdings of green funds to proxy for environmental integration. The average annual exclusion effect is 2.79% for the period 1999–2019. Although the annual taste effect ranges from –1.12% to + 0.14% across industries for 2007–2019, the taste effect spread between the top and bottom terciles of companies within each industry can exceed 2% per year. Finally, I estimate and explain the dynamics of these premia.

中文翻译：

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可持续资本资产定价模型 (S-CAPM)：来自环境整合和罪恶股票排除的证据

本文展示了可持续投资——通过排除性筛选和环境、社会和治理 (ESG) 整合的联合实践——如何影响资产回报。我开发了一个具有部分细分和异质偏好的资产定价模型。我描述了两个排除溢价，概括了 Merton (1987) 对被忽视股票的溢价和一个阐明 ESG 与财务业绩之间关系的品味溢价。专注于美国股票，我通过将其应用于作为排除资产的罪恶股票并使用持有的绿色基金来代替环境整合来估计该模型。1999-2019 年期间的平均年度排除效应为 2.79%。尽管 2007-2019 年各行业的年度口味影响范围为 –1.12% 至 +0.14%，每个行业内最高和最低三分位数公司之间的味觉效应传播每年可超过 2%。最后，我估计并解释了这些溢价的动态。