Title: Examining the influence of ESG rates on the composition of the global minimum variance portfolio Authors:  Luigi Aldieri - University of Salerno (Italy)
Alessandra Amendola - University of Salerno (Italy)
Vincenzo Candila - University of Salerno (Italy) [presenting]
Abstract: Recently, there has been a significant increase in attention to environmental, social, and governance (ESG) responsibilities. Corporations are now highly attuned to these issues, publicly disclosing not only traditional balance sheets but also environmental and sustainability reports. However, the question of how financial markets respond to strong ESG practices remains unanswered. Specifically, it is unclear whether investors show greater interest in portfolios of companies with high ESG ratings. The aim is to address this question, employing a comprehensive analysis based on a substantial panel of constituents (by weight) from the S\&P500 index. Utilizing established multivariate techniques to calculate the conditional covariance matrix of the stocks under examination, the time-varying weights of the global minimum variance portfolio are determined. The uniformity of these weights across low, medium, and high ESG ratings provides insights into the relatively limited emphasis placed by financial markets on the ESG pillars, at least up to the present moment.