Research on SASB

The following research references or relates to SASB standards. If you’re interested in publishing research related to SASB Standards and would like to receive the standards, materiality map, or other associated information in Excel form, please email learn[at]

Research Based on SASB

 Witold J. Henisz and James McGlinch, Wharton School, University of Pennsylvania, ESG, Material Credit Events, and Credit Risk (Journal of Applied Corporate Finance, July 2, 2019).

A new study, “ESG, Material Credit Events, and Credit Risk,” by Professor Witold J. Henisz and Doctoral Student James McGlinch of the University of Pennsylvania’s Wharton School published in the Journal of Applied Corporate Finance illustrates the connection between ESG performance and credit risk. “Our study is the first large-sample empirical study of the mechanisms that link ESG performance to credit risk, said Henisz, “We found that Truvalue Labs’ ESG scores capture timely and material events such as regulatory inquiries, investigations and lawsuits, which are correlated with credit risk and the likelihood of default.

Mozaffar Khan, George Serafeim and Aaron Yoon, Corporate Sustainability: First Evidence on Materiality (Harvard Business School, March 9, 2015).

The authors mapped SASB’s Materiality Map® general issue categories to MSCI KLD data for 2,307 unique firms over 13,397 unique firm-years across six SICS® sectors. Using both calendar-time portfolio stock return regressions and firm-level panel regressions they find that firms with good ratings on SASB’s material sustainability issues significantly outperform firms with poor ratings on these issues. In contrast, firms with good ratings on immaterial sustainability issues (ESG issues not identified by SASB for a given industry) do not significantly outperform firms with poor ratings on the same issues. Lastly, they find that all else equal firms scoring at the top quintile on the material issues have higher future return-on-sales growth.

Russell InvestmentsMateriality matters: Targeting the ESG issues that can impact performance.

Russell Investments mapped SASB’s Materiality Map® general issue categories to Sustainalytics subcategories to adapt the Sustainalytics company ESG scores by calculating a new Material ESG score based on what SASB identifies for a company based on its SICS® industry. Using the new Material ESG score to analyze companies from 2011 to 2017, they find evidence that the Material ESG scores are better predictors of return compared to the original score, even after adjusting for known drivers of equity returns (such as factor exposures).

BlackRock, Sustainable investing: a ‘why not’ moment: environmental, social and governance investing insights.

BlackRock applied SASB’s Sustainable Industry Classification System® (SICS®) to the Russell 1000 Index and compared the results to the General Industry Classification System (GICS) across eight years of data. They found that (a) pairwise correlations between sectoral returns were lower than GICS and (b) pairwise correlations of excess returns of individual stocks within sectors were comparable to that of GICS.

QMA, Integration ESG in Portfolio Construction: An innovative data lens gives a wider view on sustainable investing.

QMA mapped SASB’s Materiality Map® general issue categories to Bloomberg ESG data from 2008 through 2015 for the Russell 3000 and S&P 500. After categorizing companies as good, bad, or neutral, they provide evidence that analyzing companies using only SASB’s material ESG factors is preferable to analyzing companies based on all disclosed ESG information. Additionally, they used a procedure borrowed from pairs trading to assign companies to good or bad categories even if those companies weren’t disclosing much ESG information, which allowed them to expand the number of companies categorized as good or bad by over 200%.

logo for Global Alliance for Banking on Values

Global Alliance for Banking on Values (GABV), Do sustainable banks outperform? Driving value creation through ESG practices

Recruited by the GABV, KKS Advisors used SASB’s Materiality Map® to analyze data from 100 large commercial banks over a 10-year period (2007-2017) and found those that perform well on financially material ESG issues also deliver higher-than-average risk-adjusted financial returns. In the study, a portfolio of banks with top scores on SASB topics outperformed the bottom-scoring portfolio on those topics by 2.65 percent in terms of average risk-adjusted returns (alpha). Meanwhile, the study found that investing in “immaterial” (i.e., non-SASB) sustainability issues does not give commercial banks a competitive edge and may detract from market returns. These differences were particularly pronounced after 2014, indicating that ESG factors may be increasing in importance while improving data quality may be enabling markets to more efficiently price these emerging risks and opportunities.