Does disinvestment from fossil fuels reduce the financial performance of responsible sovereign wealth funds?

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management Pub Date : 2022-06-01 DOI:10.1016/j.mulfin.2022.100731

Khalil Al Ayoubi , Geoffroy Enjolras

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引用次数: 5

Abstract

This paper examines the effects of negative screening on the financial performance of sovereign wealth funds (SWFs). SWFs have been under pressure to invest responsibly and divest from fossil fuel firms by their respective governments and citizens. Yet, such a strategy may reduce the financial performance of these funds. This study examines the extent to which excluding fossil fuel firms from SWF portfolios in order to comply with ethical standards reduces their financial performance. By using asset pricing models, namely the capital asset pricing model and the Carhart four-factor model, we find that excluding firms has a statistically insignificant impact on the financial performance of SWFs. We document similar results regarding the performance of SWF fossil fuel portfolios, suggesting that fossil fuel divestment will not impact SWF performance. We also test for differences between “extraction and production” and “refining and integrated” fossil fuel firms to explain why some SWFs divest only from extraction and production firms. Our findings indicate that, to some extent, extraction and production companies generate lower returns. We conclude that socially responsible investment, by negative screening of fossil fuel firms does not reduce SWF performance.

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从化石燃料中撤资是否会降低负责任的主权财富基金的财务表现?

本文研究了负面筛选对主权财富基金财务绩效的影响。主权财富基金一直面临着来自各自政府和公民的压力，要求它们负责任地进行投资，并从化石燃料公司撤资。然而，这种策略可能会降低这些基金的财务业绩。本研究考察了为了遵守道德标准而将化石燃料公司排除在主权财富基金投资组合之外对其财务业绩的影响程度。通过资产定价模型，即资本资产定价模型和Carhart四因素模型，我们发现排除公司对主权财富基金财务绩效的影响在统计上不显著。我们在主权财富基金化石燃料投资组合的业绩方面也记录了类似的结果，表明化石燃料的撤资不会影响主权财富基金的业绩。我们还测试了“开采和生产”和“精炼和综合”化石燃料公司之间的差异，以解释为什么一些主权财富基金只从开采和生产公司撤资。我们的研究结果表明，在某种程度上，开采和生产公司的回报较低。我们的结论是，通过对化石燃料公司进行负面筛选的社会责任投资不会降低主权财富基金的绩效。

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 Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.