The end of ESG? Return spillover between ESG and non-ESG portfolios

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-09-07 DOI:10.1016/j.frl.2024.106074

引用次数: 0

Abstract

We investigate the return spillover between firms with environmental, social and governance (ESG) and non-ESG disclosure. Using a sample of Chinese firms from 2010 to 2022, we find that the ESG portfolio return has a stronger spillover effect on the non-ESG portfolio return. Moreover, the spillover effect between the two portfolios has decreased significantly in recent years, indicating that investors recognise ESG's unique advantage. Important global events, such as stock market crashes, the Sino–US trade wars and epidemics, increase ESG spillover into non-ESG portfolios.

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ESG 的终结？环境、社会和治理投资组合与非环境、社会和治理投资组合之间的回报溢出效应

我们研究了披露环境、社会和治理（ESG）信息的公司与未披露ESG信息的公司之间的回报溢出效应。以 2010 年至 2022 年的中国企业为样本，我们发现环境、社会和治理投资组合的回报对非环境、社会和治理投资组合的回报具有更强的溢出效应。此外，近年来两种投资组合之间的溢出效应明显下降，表明投资者认识到了ESG的独特优势。重要的全球事件，如股市崩盘、中美贸易战和流行病，会增加 ESG 对非 ESG 投资组合的溢出效应。

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

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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