摘要：The environmental, social, and governance (ESG) investment has evolved from the concept of socially responsible investing (SRI) starting in the period concerned with the civil rights movement and social responsibility. The concept of socially responsible investing has evolved into sustainable investment focusing on the companies that show concerns about environmental, social, and governance (ESG). This study aims to investigate the performance of ESG investment in the Stock Exchange of Thailand based on the list of companies with good performances in environmental, social and governance known as “ESG100 Companies” in Thailand. The performance of ESG investment is not different from the corresponding benchmarks. However, the risk of ESG portfolio is lower both in term of total risk and systematic risk, which results in the abnormal performance measured by Jensen’s Alpha. Finally, the list of ESG100 companies does not provide only static information in portfolio selection, but it can also provide information like the persistence in the list or the new inclusion to the list that can help in constructing the investment portfolio and generate abnormal performance.
