The trade-off frontier for ESG and Sharpe ratio: a bootstrapped double-frontier data envelopment analysis

IF 4.5 3区管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Annals of Operations Research Pub Date : 2023-07-24 DOI:10.1007/s10479-023-05506-z

Sabri Boubaker, Tu D. Q. Le, Riadh Manita, Thanh Ngo

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Abstract

The trade-off between the returns and the risks associated with the stocks (i.e., the Sharpe ratio, SR) is an important measure of portfolio optimization. In recent years, the environmental, social, and governance (ESG) has increasingly proven its influence on stocks’ returns, resulting in the evolvement from a two-dimensional (i.e., risks versus returns) into a multi-dimensional setting (e.g., risks versus returns versus ESG). This study is the first to examine this setting in the global energy sector using a (slacks-based measures, SBM) ESG-SR double-frontier double-bootstrap (ESG-SR DFDB) by studying the determinants of the overall ESG-SR efficiency for 334 energy firms from 45 countries in 2019. We show that only around 11% of our sampled firms perform well in the multi-dimensional ESG-SR efficient frontier. The 2019 average (in)efficiency of the global energy sector was 2.273, given an efficient level of 1.000. Besides the differences in the firm’s input/output utilization (regarding their E, S, G, and SR values), we found that the firm- (e.g., market capitalization and board characteristics) and country-level characteristics (e.g., the rule of law) have positive impacts on their ESG-SR performance. Such findings, therefore, are essential not only to the (responsible) investors but also to managers and policymakers in those firms/countries.

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ESG和Sharpe比率的权衡边界：自举的双边界数据包络分析

回报与股票相关风险之间的权衡（即夏普比率，SR）是投资组合优化的重要衡量标准。近年来，环境、社会和治理（environmental, social, and governance， ESG）对股票收益的影响日益得到证实，导致其从二维（即风险与回报）向多维（即风险与回报与ESG）发展。本研究首次使用ESG-SR双前沿双引导（ESG-SR DFDB）方法，通过研究2019年来自45个国家的334家能源公司的整体ESG-SR效率的决定因素，对全球能源行业的这一背景进行了研究。我们发现，样本公司中只有约11%在多维ESG-SR效率前沿表现良好。鉴于效率水平为1000,2019年全球能源部门的平均效率为2.273。除了企业的投入/产出利用率（关于它们的E、S、G和SR值）的差异外，我们发现，企业（如市值和董事会特征）和国家层面的特征（如法治）对它们的ESG-SR绩效有积极影响。因此，这些发现不仅对（负责任的）投资者至关重要，而且对这些公司/国家的管理人员和决策者也至关重要。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Annals of Operations Research 管理科学-运筹学与管理科学

CiteScore

7.90

自引率

16.70%

发文量

596

审稿时长

8.4 months

期刊介绍： The Annals of Operations Research publishes peer-reviewed original articles dealing with key aspects of operations research, including theory, practice, and computation. The journal publishes full-length research articles, short notes, expositions and surveys, reports on computational studies, and case studies that present new and innovative practical applications. In addition to regular issues, the journal publishes periodic special volumes that focus on defined fields of operations research, ranging from the highly theoretical to the algorithmic and the applied. These volumes have one or more Guest Editors who are responsible for collecting the papers and overseeing the refereeing process.