Abstract
Investment time horizon is an important part of significance of ESG factors. This research examines the role of ESG factors in returns and risks in short- and medium-term investment periods. It compares (a) the returns and risks of ESG portfolios between before scoring and after scoring, and (b) the returns and risks between ESG portfolios and their peers.The main results suggest that after scoring most short-term ESG portfolios have similar returns, but lower risks than before scoring. The returns of ESG portfolios are similar to those of nonESG portfolios for both short- and medium-term. There are more ESG portfolios, whose risks are different from nonESG portfolios, in the short-term investment than in the medium-term.ESG factors therefore play a greater role in risks than in returns, and in the short-term than in the medium-term. Additionally, the role of ESG factors in risks varies from industry to industry.
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