The present study seeks to examine the impact of environmental, social and governance (ESG) factors on return distributions of the sustainable responsible indices (SRI). Here, four SRI indices are considered and then daily monthly return is computed for further analysis. The data period ranges are between December 1998 and March 2016. The study uses dummy variable approaches to examine the various impacts of ESG factors on return distribution depending on various situations. It is observed that ESG factors do not have any significant variation on return distribution except in few cases.
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