RT Journal Article SR Electronic T1 Is Incorporating ESG Considerations Costly? JF The Journal of Portfolio Management FD Institutional Investor Journals SP 75 OP 87 DO 10.3905/jpm.2022.1.377 VO 48 IS 7 A1 Arik Ben Dor A1 Jingling Guan A1 Yunpeng Sun YR 2022 UL https://pm-research.com/content/48/7/75.abstract AB A common approach to measuring the effect of ESG (or ESG premium) in equities is to use the difference between a broad index and its ESG version. This approach, however, does not control for mismatches in systematic risk exposures and sector weights that can contaminate the results between the two indexes. The authors introduce a new approach that accurately measures ESG return premium in equities and find that in the past decade it was positive in both the United States and Europe. The authors also identify a positive and distinct return effect from ESG momentum and show that both effects are complementary. They also discuss how investors could use this approach to construct portfolios to harvest pure ESG returns.