ESG IN PORTFOLIO CONSTRUCTION: WHAT DOES THE SCIENTIFIC LITERATURE REVEAL?

Nóbrega, Mariane Bezerra; Felipe, Israel José dos Santos; Araújo, Rodrigo Leite Farias de

doi:10.1590/S0034-759020250606

person Mariane Bezerra Nóbrega

Conceptualization · Data curation · Formal analysis · Investigation · Methodology · Writing - original draft · Writing - review and editing

schoolInstituto Federal de Pernambuco, Departamento de Administração, Igarassu, PE, Brazil

0000-0003-3331-6426

person Israel José dos Santos Felipe *

Conceptualization · Funding acquisition · Methodology · Project administration · Resources · Supervision · Validation · Writing - original draft · Writing - review and editing

schoolUniversidade Federal do Rio Grande do Norte, Programa de Pós-Graduação em Administração, Natal, RN, Brazil

0000-0001-8608-0029

person Rodrigo Leite Farias de Araújo

Data curation · Investigation · Methodology · Visualization · Writing - original draft · Writing - review and editing

schoolInstituto Federal de Pernambuco, Departamento de Administração, Igarassu, PE, Brazil

0000-0002-7497-6212

CONFLICTS OF INTEREST

The authors declare that they have no conflicts of interest.

Reviewers:

Rogiene Batista dos Santos https://orcid.org/0000-0003-3694-4727 , Fundação Getulio Vargas, Escola de Administração de Empresas de São Paulo, São Paulo, SP, Brazil. Lucas Ayres Barreira de Campos Barros https://orcid.org/0000-0002-9319-1306 , Universidade de São Paulo, Faculdade de Economia, Administração, Contabilidade e Atuária, São Paulo, SP, Brazil, but he did not authorize disclosure of peer review report.

Associate Editor:

Rodrigo Leite

person*Corresponding author

Web of Science
TS=((((portfolio$ OR asset$ OR equit^* OR stock$) AND (allocation OR choice OR combination OR construction OR diversif^* OR evaluation OR formation OR integration OR invest^* OR issue$ OR management OR measurement OR optim^* OR performance OR pricing OR return$ OR selection OR strateg^)) OR ((mean variance OR (return$ AND risk) OR portfolio) AND (theory OR approaches OR framework)) OR Markowitz OR (efficien^ frontier) OR Sharpe) AND (“environmental, social and governance” OR “environmental, social and corporate governance” OR “ESG”))
Scopus
TITLE-ABS-KEY((((portfolio$ OR asset$ OR equit^* OR stock$) AND (allocation OR choice OR combination OR construction OR diversif^* OR evaluation OR formation OR integration OR invest^* OR issue$ OR management OR measurement OR optim^* OR performance OR pricing OR return$ OR selection OR strateg^)) OR ((mean variance OR (return$ AND risk) OR portfolio) AND (theory OR approaches OR framework)) OR Markowitz OR (efficien^ frontier) OR Sharpe) AND (“environmental, social and governance” OR “environmental, social and corporate governance” OR “ESG”))

Eligibility Criteria
i) What performance measure was used?	Articles that did not assess the returns of equity portfolios were excluded.
ii) How was ESG implemented?	Articles that did not apply ESG scores or ratings in the portfolio analysis were excluded.
iii) What were the performance evaluation strategies?	Articles were excluded if they did not: Use ESG as a risk premium factor in multifactor portfolio models; compare ESG portfolios to benchmarks or conventional portfolios; compare high-ESG to low-ESG portfolios.
iv) What outcomes were expected?	Articles that did not present empirical results or failed to address the research question were excluded.
Quality Criteria
Title:	Does it clearly state the research problem, objective, and methodology?
Abstract:	Does it clearly present the research problem, objective, and key findings?
Objectives / Research Question:	Are they clearly defined?
Methodology:	Is it appropriate for addressing the research objective?
Results	Are the results aligned with the stated objectives?
	Does the analysis directly answer the research question?
	Is the analysis clear and methodologically rigorous?
Conclusion:	Is the conclusion clearly and objectively stated?
	Are the study’s limitations acceptable?
	Does the study provide value to research or practice?
Methodological Validity Criteria
i) Is the research design replicable and objective?	Articles were excluded if the methodological procedures were not clearly defined, preventing replication.

1. Objective	13. Portfolio rebalancing method
2. Research gap	14. Portfolio construction / Asset allocation method
3. Research questions and motivations	15. Financial performance measure
4. Main databases used	16. ESG quality measure (individual or aggregate score)
5. Start year of the sample	17. Benchmark used
6. End year of the sample	18. Portfolio constraints
7. Total number of years analyzed	19. Analysis of different time periods
8. Geographic scope / Market coverage	20. Industry effects
9. Data frequency	21. Results / Conclusions: Statistically significant financial differences?
10. Analyzed assets / Sample description	22. Contributions and relevance of the findings to the academic debate
11. Theories analyzed or cited	23. Suggestions for future research
12. Pricing models / Return measurement models	24. Reported problems or limitations

Linha Temática	Foco Teórico	Implicações Analíticas
ESG as a risk factor and asset pricing mechanism.	ESG beta, systematic risk, pricing factor, multifactor models.	Evaluation of conditional returns, development of multifactor asset pricing models.
ESG as a non-financial investor preference.	Extended utility, ESG-SR frontier, investor typology (ESG-unaware, ESG-aware, ESG-motivated), portfolio efficiency.	Market segmentation, optimal allocation, trade-off between returns and ESG utility, differences in portfolio weights, structural rebalancing, impact on prices, liquidity, and capital flows.
ESG as a signal of organizational quality and resilience.	Governance proxy, reputation, idiosyncratic risk, crisis stability.	Selection of resilient assets, mitigation of operational risks, superior performance during shocks.
ESG as an investment style and portfolio strategy.	ESG as a style factor (value, momentum, quality); ESG smart beta.	Active and passive strategies, ESG tilt, tracking error control, portfolio customization.
Uncertainty and divergence in ESG ratings.	Rating dispersion, informational noise, standardization issues.	Mispricing, reduced investor confidence and demand, greenwashing risks, flawed decision-making.
Conditional materiality and sectoral heterogeneity of ESG effects.	Sector-specific dynamics, varying materiality of E, S, and G, nonlinear relationships.	Sector-targeted strategies, differentiated regulation, customization of ESG metrics by industry.
ESG in emerging markets and connection with the SDGs.	ESG in the Global South, institutional transitions, political risk, weak institutions, SDG alignment.	ESG as a tool for sustainable development, public incentives, mitigation of institutional vulnerabilities.
Aggregate ESG vs. individual E, S, G dimensions.	Aggregate score vs. disaggregated pillars; differentiated relevance of E, S, and G.	Portfolio rebalancing, weighting attribution, structural analysis of impact and return.

ESG IN PORTFOLIO CONSTRUCTION: WHAT DOES THE SCIENTIFIC LITERATURE REVEAL?

ABSTRACT