ESG risk and returns implied by demand-based asset pricing models

IF 1.5 Q3 BUSINESS, FINANCE

Journal of Asset Management Pub Date : 2024-05-25 DOI:10.1057/s41260-024-00354-3

Chi Zhang, Xinyang Li, Andrea Tamoni, Misha van Beek, Andrew Ang

引用次数: 0

Abstract

We investigate how changes in demand for Environment, Social and Governance (ESG) characteristics affect stock prices. We consider three scenarios: increased demand for ESG characteristics by investors, shifts in assets under management from institutions with low demand for ESG characteristics to those with high demand, and changes in the ESG characteristics of the stocks themselves. To compute the effects of the scenarios, we use a demand-based asset pricing model which is calibrated to individual stock-level holdings of institutional investors. We find that these scenarios lead to significantly different returns of stocks with different ESG characteristics.

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基于需求的资产定价模型所隐含的环境、社会和治理风险与回报

我们研究了对环境、社会和治理（ESG）特征需求的变化如何影响股票价格。我们考虑了三种情况：投资者对环境、社会和治理特征的需求增加；管理的资产从对环境、社会和治理特征需求低的机构转移到需求高的机构；股票本身的环境、社会和治理特征发生变化。为了计算这些情景的影响，我们使用了一个基于需求的资产定价模型，并对机构投资者的个股持有量进行了校准。我们发现，这些情景会导致具有不同环境、社会和公司治理特征的股票收益率出现显著差异。

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

Journal of Asset Management BUSINESS, FINANCE-

CiteScore

4.10

自引率

0.00%

发文量

期刊介绍： The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics