"We explored ESG data from a US provider that aggregates ESG scores from multiple sources." This methodology has a serious weakness. Unlike eg "momentum" or "value" factor. There is no agreed definitions of an "ESG" factor (see also Axioma ESG research looking at idiosyncractic vs common ESG factors).

And so, this study doesn't answer the question posed at all.

Indeed, you can see why theoretically many so-called "ESG factors" might be idiosyncractic and stock-specific and go in to the large "residual" quant bucket.

For instance, CEOs and fundamental investors typically agree that "corporate culture" is important for "value creation" and that this may fall across a "S" or "G" dimension. But there is no well defined "culture factor". Indeed arguably most culture is stock-specific.

For full disclosure the ESG data provider should be named and also the underlying sources, and also whether this analysis has undergone any other peer review or not.

I comment in a personal capacity.