ESG investment performance and global attention to sustainability

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-09-12 DOI:10.1016/j.najef.2024.102287

Thanh Nam Vu , Heikki Lehkonen , Juha-Pekka Junttila , Brian Lucey

引用次数: 0

Abstract

We analyze ESG-based investments in stocks across 23 developed markets using daily data from 2004 to 2022. The findings suggest a weak relationship between the ESG ratings and expected returns, with some evidence of modest underperformance of high ESG stocks compared to lower-rated ones in specific periods. This outcome indicates that stock prices have already reflected ESG information, and well-known asset pricing factors can effectively capture the returns of portfolios based on ESG ratings. However, the strength of this relationship depends on global attention to sustainability, where high ESG-rated stocks tend to gain advantages during unexpected attention increases, highlighting the dynamic, nonlinear nature of this relationship.

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ESG 投资业绩和全球对可持续发展的关注

我们利用 2004 年至 2022 年的每日数据分析了 23 个发达市场基于 ESG 的股票投资。研究结果表明，ESG 评级与预期回报之间的关系较弱，有证据表明，在特定时期，ESG 高的股票与ESG 评级低的股票相比表现略差。这一结果表明，股票价格已经反映了 ESG 信息，众所周知的资产定价因素可以有效捕捉基于 ESG 评级的投资组合的回报。然而，这种关系的强弱取决于全球对可持续发展的关注度，ESG评级高的股票往往会在关注度意外上升时获得优势，这凸显了这种关系的动态、非线性性质。

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

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.