If the demand for socially responsible stocks depends on aggregate wealth, their returns may rise when the economy is booming and fall when it is struggling. Motivated by the consistent evidence from the United States, we revisit this effect internationally. Using data from 45 markets, we examine how the economic conditions affect environmental, social, and governance (ESG) strategies. We find that high-rated ESG firms fail to outperform their low-rated counterparts in good and bad times alike. The abnormal returns on ESG strategies do not reliably differ across economic states. Previous contrasting evidence does not generalize internationally and is likely sample- and period-specific.

如果对社会责任股票的需求取决于总财富，那么它们的回报可能会在经济繁荣时上升，在经济困难时下降。在美国一致证据的推动下，我们在国际上重新审视这一效应。我们利用来自 45 个市场的数据，研究经济状况如何影响环境、社会和治理 (ESG) 策略。我们发现，无论顺境还是逆境，高评级 ESG 公司的表现都无法超越低评级同行。ESG 策略的异常回报在不同经济国家之间并没有可靠的差异。以前的对比证据并不能在国际上普遍适用，并且可能是特定于样本和特定时期的。