This new paper from Deutsche Bank reports:

In this note we take a closer look at the relationship between ESG (environmental, social and governance) performance momentum and accountability to stock price performance. Although investors tend to generally look at ESG performance from a longer-term time horizon, recent performance data suggests that ESG is starting to generate alpha even in a shorter-term timeframe. Moreover, our work suggests that ESG-linked compensation has had a positive impact on six sectors within S&P 500 over 3- and 5-year periods.