A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from Environmental Integration and Sin Stock Exclusion

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2022-07-21 DOI:10.1093/rof/rfac045

O. Zerbib

引用次数: 31

Abstract

This paper shows how sustainable investing—through the joint practice of exclusionary screening and environmental, social, and governance (ESG) integration—affects asset returns. I develop an asset pricing model with partial segmentation and heterogeneous preferences. I characterize two exclusion premia generalizing Merton’s (1987) premium on neglected stocks and a taste premium that clarifies the relationship between ESG and financial performance. Focusing on U.S. stocks, I estimate the model by applying it to sin stocks as excluded assets and using the holdings of green funds to proxy for environmental integration. The average annual exclusion effect is 2.79% for the period 1999–2019. Although the annual taste effect ranges from –1.12% to + 0.14% across industries for 2007–2019, the taste effect spread between the top and bottom terciles of companies within each industry can exceed 2% per year. Finally, I estimate and explain the dynamics of these premia.

查看原文本刊更多论文

可持续资本资产定价模型（S-APM）：来自环境整合和罪恶存量排除的证据

本文展示了可持续投资——通过排他性筛选和环境、社会和治理（ESG）整合的联合实践——如何影响资产回报。我开发了一个具有部分细分和异质偏好的资产定价模型。我刻画了两个排除溢价，一个是推广Merton（1987）对被忽视股票的溢价，另一个是澄清ESG与财务业绩之间关系的品味溢价。以美国股票为重点，我通过将其应用于被排除在外的sin股票，并使用持有的绿色基金来代表环境一体化，来估计该模型。1999年至2019年期间的平均年排斥效应为2.79%。尽管每年的味觉效果从-1.12%到 + 2007年至2019年，各行业的0.14%，每个行业的顶级和底层公司之间的味觉效应每年可能超过2%。最后，我估计并解释了这些溢价的动态。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.