Ribando and Bonne (2010)
Ribando, Jason M., and George Bonne. “A New Quality Factor: Finding Alpha with Asset4 Data.” Starmine Research Note, March 31, 2010.
"On November 30, 2009, Thomson Reuters announced the acquisition of ASSET4, the leading provider of environmental, social, and corporate governance (ESG) data. ASSET4 gathers extensive, objective, quantitative and qualitative ESG data on 3100 global companies (as of Q2 2010) and scores them on four pillars: Environmental, Social, Corporate Governance, and Economic. In turn, the pillar scores form the basis of an overall company score summarizing a company’s strength in adhering to ESG principles...
"We have undertaken a study to determine the efficacy of ASSET4 scores as equity selection factors. We find that in addition to displaying significant stand-alone performance, ASSET4 signals complement other quality factors such as StarMine Earnings Quality (EQ). Our results show the ASSET4 scores add value on an absolute basis as well as a risk-adjusted basis, and that their value-added generally increases with the investment holding period."
LK comment: Some researchers prefer the Asset4 dataset to the more widely used KLD STATS and other databases. See, for example, Eccles, Ioannou, and Serafeim (2012).