“…They find evidence supporting what they call the taste effect, which entails the exclusion of stocks from the portfolio based purely on the taste for such assets, and an associated underperformance at 4.8% annually. 55 The four papers developed use MSCI data, ESG ratings and indices to provide a complete analysis on ESG investing: The research provides a methodology based on a two-step approach, where a standard factor methodology is applied on top of an ESG index, and a one-step approach, where the strategy is optimised to minimise the sacrifice in factor exposure per unit of ESG improvement 56 (Bannier, Bofinger and Rock, 2019 [18]) : Doing safe by doing good: ESG investing and corporate social responsibility in the U.S. and Europe, CFS Working Paper Series, No. 621, Goethe University, Center for Financial Studies (CFS), Frankfurt a. M., http://nbn-resolving.de/urn:nbn:de:hebis:30:3-480587 57 https://www.goldmansachs.com/insights/pages/new-energy-landscape-folder/esg-revolutionrising/report.pdf 58 Fama and French provide five different factors, among which is the market factor.…”