Can we enhance investment with ESG?

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2024-11-16 DOI:10.1016/j.irfa.2024.103776

Wanling Rudkin , Charlie X. Cai , You Zhou

引用次数: 0

Abstract

Given evidence of low abnormal returns to ESG stock investment, growth in ESG focused stock investment suggests a wider utility from holding higher ESG performance stocks. We add detail and granularity through a double-sorted portfolio approach across two ESG measures and 24 anomalies. Traditional anomaly factor sort strategies may be enhanced by ESG information to produce an annualised ESG tilted alpha of more than 6% and provide an up to 7% alpha gain over the unconditional factor sort strategy. Investors using our strategies may increase ESG exposure and gain abnormal return with no alpha cost relative to traditional factor investing.

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我们能否通过环境、社会和公司治理来加强投资？

鉴于有证据表明 ESG 股票投资的异常回报率较低，ESG 重点股票投资的增长表明持有 ESG 表现较好的股票具有更广泛的效用。我们通过对两种 ESG 衡量标准和 24 种异常情况进行双重排序的投资组合方法，增加了细节和粒度。传统的异常因子排序策略可通过 ESG 信息得到增强，产生超过 6% 的年化 ESG 倾斜阿尔法，与无条件因子排序策略相比，阿尔法收益高达 7%。与传统的因子投资相比，使用我们的策略的投资者可以增加 ESG 风险敞口，并在不付出阿尔法成本的情况下获得异常回报。

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

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.