... their benchmarks? Can these ESG indices be replicated by benchmark counterparts? Do ESG equity indices enhance portfolio diversification? The findings reveal that investing in ESG indices has the potential to enhance risk-adjusted returns and portfolio diversification. Research limitations/implications While...

... or keep risky assets in their investment portfolios; they may decide to sell such assets, even though market shows an upward trend. Such results make a new contribution to behavioural finance within the context of prospect theory and the disposition effect. Originality/value The originality of this paper...