The icing on the cake: ESG effect on the quality factor portfolios

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-10-30 DOI:10.1016/j.frl.2024.106304

引用次数: 0

Abstract

This study investigates the effect of Environmental, Social, and Governance (ESG) on the quality portfolios in Taiwanese market. The quality factor, which aggregates the character of profitability, growth, safety, and payout, is one of crucial factors in Warren Buffet's investment strategy suggested by literature. Our empirical results show that the beneficial effect of ESG is not prevailing, only significantly positively for the high-quality stocks, rather than the lower-quality ones, implying the market investors' willingness to pay a premium for ESG only for high quality firms. This “icing on the cake” phenomenon exists both on stock returns and also Tobin's Q.

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锦上添花：ESG 对优质因子投资组合的影响

本研究探讨了环境、社会和治理（ESG）对台湾市场优质投资组合的影响。质量因素综合了盈利性、成长性、安全性和报酬率等特征，是文献中巴菲特投资策略的关键因素之一。我们的实证结果表明，ESG 的有利影响并不普遍，仅对高质量股票有显著的正向影响，而对低质量股票则没有，这意味着市场投资者只愿意为高质量公司的 ESG 支付溢价。这种 "锦上添花 "的现象既存在于股票收益中，也存在于托宾 Q 值中。

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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