Details of Research Outputs

This study examines the relationships between the individual components of environmental, social, and governance (ESG) performance and future stock returns of US Real Estate Investment Trusts (REITs). The findings demonstrate a negative association between environmental performance and expected returns, while social performance shows a positive relationship with future returns. Moreover, the study investigates whether the observed negative (positive) relationship between environmental (social) performance and equity returns can be attributed to the predictability of ESG components on future firm fundamentals or investor preferences towards different ESG components. The results indicate that environmental performance has a detrimental impact on firm fundamentals in REITs, including future profits, external financing, and stock risk. Conversely, social performance exhibits a positive association with future firm fundamentals. Institutional investors do not significantly reduce ownership to REITs with strong environmental performance but increase their ownership of REITs with strong social performance. In summary, this study highlights that the relationship between ESG and equity varies depending on the specific ESG components under consideration.