ESG如何解释新兴市场的超额回报?资产定价方法

Clarissa Mulialim, Muhammad Madyan
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引用次数: 0

摘要

目的:以往的研究发现资本市场在解释股票表现时存在几个重要的风险因素。然而,大多数研究只考虑了传统投资因素,而没有考虑可持续投资因素。本研究在多因素模型中考察了环境、社会和治理(ESG)绩效作为风险因素的影响。设计/方法/途径:本研究采用了来自公司财务报告、年报和汤森路透ESG评分数据的二手数据。本研究的样本是2015-2019年期间在LQ45指数上市的公司,采用有目的抽样方法进行选择,并选出符合标准的19家非金融公司。研究发现:30个投资组合中有21个存在ESG负向影响,四因素ESG模型比三因素Fama-French模型更能解释超额收益。原创性/价值:本研究通过将ESG作为风险因素纳入Fama-French三因素模型来解释股票收益,提供了新的见解。ESG变量的存在使我们能够确定可持续性是否是解释平均投资组合回报的基本决定因素。这项研究增加了新的见解,即以ESG的形式使用可持续发展报告可以捕捉股票回报的横截面变化,而不仅仅是市场因素、规模因素和账面市值比因素。实践/政策启示:鉴于已有证据表明ESG因素可以降低风险,我们鼓励投资者全面评估公司的可持续发展报告,以评估其ESG绩效的有效性。对于公司的管理者来说,这是制定战略的基础,这将提高组织的长期盈利能力和可持续性。
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How does ESG explain excess returns in emerging market? An Asset-Pricing Approach
Objective: Previous studies found several important risk factors for the capital market in explaining stock performance. However, most studies only consider conventional investment factors without considering sustainable ones. This study examines Environmental, Social, and Governance (ESG) performance’s effect as a risk factor in a multi-factor model. Design/Methods/Approach: This study employs secondary data from the company’s financial reports, annual reports, and Thomson Reuters ESG score data. The sample for this study were companies listed on the LQ45 index during the 2015-2019 period, which were selected using the purposive sampling method and produced a selection of 19 non-financial companies that met the criteria. Findings: The results show that ESG negatively affects 21 out of 30 portfolios, and the four-factor ESG model is better at explaining excess returns than the three-factor Fama-French model. Originality/Value: This study provides new insights by including ESG as a risk factor in the three-factor Fama-French model in explaining stock returns. The existence of the ESG variable allows us to identify whether sustainability is an essential determinant in explaining the average portfolio return. This study adds new insights, where using sustainability reports in the form of ESG can capture cross-sectional variations in stock returns, not only on market factors, size factors, and book-to-market factors. Practical/Policy implication: Given the established evidence that ESG factors can mitigate risk, investors are encouraged to thoroughly evaluate a company’s sustainability report to assess the efficacy of its ESG performance. For managers of companies, this serves as the foundation for developing strategies that will enhance the long-term profitability and sustainability of the organization.
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