The role of size effects in moderating the benefits of sustainable investing

IF 3.8 4区 管理学 Q2 BUSINESS Brq-Business Research Quarterly Pub Date : 2023-03-31 DOI:10.1177/23409444231162872
Yann Ferrat, Frédéric Daty, R. Burlacu
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Abstract

Using an extensive sample of environmental, social, and governance (ESG) ratings, we reexamine the corporate social responsibility (CSR) factor premium in the developed equity markets between 2007 and 2019 and show that its extent is contingent upon size effects. Consistent with the novel market equilibrium, we contend that the exponential growth of socially responsible investment (SRI) has rendered the risk-adjusted returns of large CSR-leading firms in line with or even below their lagging counterparts. In line with the neglected effect, greater market segmentation, lower market efficiency, and lower investor awareness of CSR enable us to observe the former market equilibrium in the smaller corporation partition, where CSR-lagging firms exhibit lower returns than leading ones. We thus theorize a two-stage CSP–CFP relationship, where size effects are considered a relevant moderator. This contention is robust to portfolio and panel regression settings. However, our partly contradicting results with the existent literature emphasize the divergence in ESG ratings across rating agencies. JEL Classification M14; G11; G15
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规模效应在调节可持续投资收益中的作用
利用环境、社会和治理(ESG)评级的广泛样本,我们重新审视了2007年至2019年间发达股票市场的企业社会责任(CSR)因素溢价,并表明其程度取决于规模效应。与新的市场均衡一致,我们认为社会责任投资(SRI)的指数增长使得大型社会责任领先公司的风险调整回报与落后的同行一致甚至低于他们。根据被忽视效应,更大的市场分割、更低的市场效率和更低的投资者社会责任意识使我们在更小的公司分割下观察到前一种市场均衡,即社会责任落后的公司比领先的公司表现出更低的回报。因此,我们理论化了两阶段CSP-CFP关系,其中规模效应被认为是相关的调节因子。这一论点对于组合和面板回归设置是稳健的。然而,我们与现有文献部分矛盾的结果强调了评级机构之间ESG评级的差异。JEL分类M14;为G11;G15
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来源期刊
CiteScore
7.50
自引率
6.90%
发文量
14
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