Integrating ESGs in financial efficiency for firms’ portfolio selection: Empirical evidences from a sample of European sectors

ESG (Environmental, Social and Governance) factors are increasingly at the center of corporate and investment decisions. We tested whether ESG factors impact on financial efficiency of a sample of firms belonging to different European sectors. Furthermore, for sectors most sensitive to ESGs we represented the risk-return characteristics related to ESG factors in order to provide indications for investors aiming to construct efficient and sustainable firm portfolios to invest in. Findings show that ESGs have a different impact on sectors. In particular, some sectors are more sensitive than others to ESG factors. As regard the risk some sectors are characterized by a higher risk profile than others.