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Esg Rating, Risk and Return: Evidence from the S&P 500 Index

Fabiomassimo Mango, Federica Castro, Mavie Cardi, Cosimo Paccione
October 2025 - n. 10
Keywords: Esg ratings, Portfolio management, Stock Market, Financial Performance
Jel codes: G11, G15, G20, G24

The growing interest in Environmental, Social, and Governance (Esg) factors has led asset managers to develop new strategic allocation approaches that effectively integrate these factors into portfolio optimization processes. This paper examines the relationship between Esg ratings and market performance of companies included in the S&P 500 Index. The methodology combines a mean-variance portfolio model with regression analyses supported by copulas for result validation. Empirical evidence shows a weak relationship between Esg ratings and risk-return profiles, suggesting that the impact of Esg factors on stock returns remains limited and not decisive.

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