According to Pedersen, Fitzgibbons, and Pomorski (2021 JFE) "ESG-efficient" paper, if all investors are ESG unaware, conditional CAPM can be written as follows: E(rtis)=iE(rtm)+pisismE(ts)=^+(ssm) Let's suppose ESG can predict better payoff, i.e.,, one increase in stock's ESG above average ESG can increase payoff by 0.5 If equilibrium price pi=100,si is 10 above average, what is the alpha for this ESG stock Do high ESG stocks have higher expected return or lower? Do high ESG stocks have higher cost of capital or lower