This paper evaluates monthly quartile portfolios of ESG-labeled companies constructed based on their Prospect Theory Value (PTV) and ESG scores in the closely monitored energy sector. Investing in ESG-labeled energy stocks can outperform a value-weighted global energy sector index, according to several out-of-sample performance analyses. The PTV strategy stands out over a sample period of more than twelve years. This strategy performs similarly to a fully diversified world market index and consistently outperforms a world energy index. Over the last five years, the simple strategy based on ESG scores performs similarly to the PTV strategy.

中文翻译：

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基于PTV和ESG因素的ESG标签能源公司的投资组合管理

本文评估了 ESG 标签公司的每月四分位投资组合，这些投资组合是根据其前景理论价值 (PTV) 和受到密切监控的能源行业的 ESG 得分构建的。根据多项样本外业绩分析，投资 ESG 标签的能源股可以跑赢价值加权的全球能源板块指数。 PTV 战略在超过 12 年的样本期内脱颖而出。该策略的表现与完全多元化的世界市场指数类似，并且始终优于世界能源指数。在过去五年中，基于 ESG 分数的简单策略的表现与 PTV 策略类似。