环境、社会和治理实践会影响投资组合回报吗?证据来自2002年至2020年的美国股市

IF 3.6 Q1 BUSINESS, FINANCE Review of Accounting and Finance Pub Date : 2023-01-02 DOI:10.1108/raf-02-2022-0046
Johannes Kabderian Dreyer, Mateus Moreira, William T. Smith, Vivek Sharma
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引用次数: 6

摘要

本文旨在研究环境、社会和治理(ESG)实践是否会影响2002年至2020年期间美国股市的股票回报。设计/方法/方法作者几乎重复了两篇参考文章,这两篇文章发现,社会责任基金过去表现不佳,但这种表现不佳的趋势在最近的时期已经消失。使用美国的数据,作者表明,与所使用的ESG数据库无关,中性股票的投资组合始终比ESG投资组合呈现更高的系统风险(beta),尽管这种差异随着时间的推移而降低。这可能是由于过去十年对ESG投资组合的需求显著增加,以及随之而来的价格通胀和波动性增加。然而,关于风险调整收益,与作者的参考文献相反,结果高度依赖于所使用的评级提供商,既不支持表现不佳,也不表明随时间的趋势。这些不一致的结果表明,“ESG标签”并不是投资组合绩效的决定因素。如果ESG评级是衡量可持续性的合理基准,那么对基金经理来说,在股票投资组合中实现可持续性的成本可能微乎其微。原创性/价值两个不同的esg评级机构,摩根士丹利资本国际(MSCI)和汤森路透,被用来确定可持续发展的股票。与文献不同的是,本文采用均匀概率分布随机选择组合股票,避免了基金经理的偏倚。
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Do environmental, social and governance practices affect portfolio returns? Evidence from the US stock market from 2002 to 2020
Purpose This paper aims to investigate whether environmental, social and governance (ESG) practices influence stock returns in the US stock market, looking at the period from 2002 to 2020. Design/methodology/approach The authors quasi-replicate two reference articles that found that socially responsible funds used to underperform, but that this underperformance tendency has disappeared in more recent periods. Findings Using US data, the authors show that independent of the ESG database used, portfolios of neutral stocks present consistently higher systematic risk (beta) than ESG portfolios, although this difference decreases over time. This may be due to the significant increase in demand for ESG portfolios in the past decade, and their consequent price inflation and increase in volatility. However, concerning risk-adjusted returns and contrary to the authors’ reference literature, the results are highly dependent on the rating provider used, and neither support underperformance nor indicate a tendency over time. These inconsistent results suggest that the “ESG label” is not a determinant of portfolio performance. Research limitations/implications If ESG ratings are a legitim benchmark for sustainability, then the costs of going sustainable in stock portfolios might be marginal for fund managers. Originality/value Two different ESG-rating agencies, Morgan Stanley Capital International (MSCI) and Thomson Reuters, are used to identify sustainable stocks. Different from the literature, the authors selected stocks for their portfolios stochastically following a uniform probability distribution, thus avoiding fund manager bias.
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来源期刊
CiteScore
4.30
自引率
0.00%
发文量
18
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