Gougler, ArnaudArnaudGouglerUtz, SebastianSebastianUtz2023-04-132023-04-132020https://www.alexandria.unisg.ch/handle/20.500.14171/112774https://doi.org/10.1007/s11408-020-00354-4We analyze the performance, risk, and diversification characteristics of global screened and best-in-class equity portfolios constructed according to Inrate's sustainability ratings. The financial performance of sustainably high-rated portfolios is similar to the risk-adjusted market performance in terms of abnormal returns of a five-factor market model. In contrast, low-rated portfolios exhibit negative abnormal returns. Firms with high sustainability ratings show lower idiosyncratic risk, and higher exposure towards the high-minus-low and the conservative-minus-aggressive factor.enjournal article