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The Journal of Impact and ESG Investing最新文献

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The Growing Importance of ESG and How It Affects M&A Transactions 环境、社会和公司治理的日益重要性及其对并购交易的影响
The Journal of Impact and ESG Investing Pub Date : 2024-01-05 DOI: 10.3905/jesg.2024.1.090
Camila Colosimo
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引用次数: 0
Adequacy of Emissions Intensity Disclosures for Portfolio Construction with Mining Companies 披露矿业公司的排放强度是否足以构建投资组合
The Journal of Impact and ESG Investing Pub Date : 2023-11-20 DOI: 10.3905/jesg.2023.1.089
Namita Asnani, Satyajit Bose
{"title":"Adequacy of Emissions Intensity Disclosures for Portfolio Construction with Mining Companies","authors":"Namita Asnani, Satyajit Bose","doi":"10.3905/jesg.2023.1.089","DOIUrl":"https://doi.org/10.3905/jesg.2023.1.089","url":null,"abstract":"The global transition to a low-carbon economy requires significant investment in the production of copper, a key mineral critical to electrification. The authors examine the disclosures of the 25 largest mining companies to compare the relative carbon intensities of major copper producers. They find that wide variation in business models, product mix, and stages of production kept in-house versus outsourced to the external value chain, combined with limited Scope 3 disclosures, render virtually meaningless a common metric of revenue-based carbon intensity that is used for portfolio construction. The authors demonstrate examples of inconsistencies and misleading disclosures that prevent investors from making sound capital allocation choices. They demonstrate that, for the copper sector, just 5 out of 15 Scope 3 categories are material for investor choices. The authors also highlight disclosures of an alternative metric of unit output carbon intensity, which a handful of issuers reveal. This metric, if available consistently for all issuers, can dramatically improve the investment decision relevance of carbon emissions intensity disclosures.","PeriodicalId":213872,"journal":{"name":"The Journal of Impact and ESG Investing","volume":"19 3","pages":"78 - 94"},"PeriodicalIF":0.0,"publicationDate":"2023-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139259484","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Guest Editor’s Letter 特邀编辑信
The Journal of Impact and ESG Investing Pub Date : 2023-08-31 DOI: 10.3905/jesg.2023.4.1.002
J. Bender
{"title":"Guest Editor’s Letter","authors":"J. Bender","doi":"10.3905/jesg.2023.4.1.002","DOIUrl":"https://doi.org/10.3905/jesg.2023.4.1.002","url":null,"abstract":"","PeriodicalId":213872,"journal":{"name":"The Journal of Impact and ESG Investing","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115156182","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Evidencing Financial Materiality of Sovereign ESG Risk 证明主权ESG风险的财务重要性
The Journal of Impact and ESG Investing Pub Date : 2023-08-28 DOI: 10.3905/jesg.2023.1.082
Astrid Sofia Flores Moya, J. Moussavi
{"title":"Evidencing Financial Materiality of Sovereign ESG Risk","authors":"Astrid Sofia Flores Moya, J. Moussavi","doi":"10.3905/jesg.2023.1.082","DOIUrl":"https://doi.org/10.3905/jesg.2023.1.082","url":null,"abstract":"Empirical studies on ESG-related topics have focused mainly on equity markets. This article focuses on the financial materiality of ESG risk assessment for sovereign debt instruments. The authors first review the existing literature on sovereign ESG and transmission channels to sovereign risk. Using an econometric framework, they then examine the empirical correlation between ESG risk and credit risk for 70 sovereign issuers. They use sovereign ESG risk scores from FTSE Russell/Beyond Ratings as a proxy for ESG risk, and five-year credit default swap spreads as a proxy for sovereign credit risk. By controlling for economic factors, the authors find that sovereign ESG risk assessments are correlated with sovereign credit risk, providing information on the financial materiality of sovereign ESG risks, especially for high-yield emerging markets. They then calculate the implied sovereign five-year CDS spread curves, based on sovereign ESG risk scores, to illustrate those results. The authors also examine more-granular results for specific income groups and index universes.","PeriodicalId":213872,"journal":{"name":"The Journal of Impact and ESG Investing","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126552387","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ESG Risk Ratings: Quantitative Insights Benefiting from Size and Sector Adjustments ESG风险评级:受益于规模和行业调整的定量洞察
The Journal of Impact and ESG Investing Pub Date : 2023-07-31 DOI: 10.3905/jesg.2023.1.079
Aymen Karoui, Liam Zerter, Yifan Zhao
{"title":"ESG Risk Ratings: Quantitative Insights Benefiting from Size and Sector Adjustments","authors":"Aymen Karoui, Liam Zerter, Yifan Zhao","doi":"10.3905/jesg.2023.1.079","DOIUrl":"https://doi.org/10.3905/jesg.2023.1.079","url":null,"abstract":"The past decade has seen a surge in interest in environmental, social, and governance (ESG) issues. Understanding firms’ and portfolios’ exposure to ESG risks is essential. For that purpose, the authors examine the interplay between ESG risk, size, and sector and suggest a straightforward approach for investors to adjust ESG risk scores for size and sector effects. They show examples of portfolios that minimize ESG risk while reducing exposure to size and sectors. The authors also show that there is no free lunch—as investors adjust for size and sector, they are, in effect, constraining their investment universe as well. The suggested adjustments are not specific to size or sector factors but could be applied to any factor.","PeriodicalId":213872,"journal":{"name":"The Journal of Impact and ESG Investing","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127308262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Peeling Back the Onion: Understanding What Goes into an ESG Rating 剥开洋葱:了解ESG评级的内容
The Journal of Impact and ESG Investing Pub Date : 2023-07-30 DOI: 10.3905/jesg.2023.1.080
J. Bender, Chen He, Stefano Maffina, Xiaole Sun
{"title":"Peeling Back the Onion: Understanding What Goes into an ESG Rating","authors":"J. Bender, Chen He, Stefano Maffina, Xiaole Sun","doi":"10.3905/jesg.2023.1.080","DOIUrl":"https://doi.org/10.3905/jesg.2023.1.080","url":null,"abstract":"The divergence of environmental, social, and governance (ESG) ratings across providers is an area of increasingly greater focus given their increased use by regulators for policymaking and by investors for investment decisions. Here, the authors discuss at a granular level what goes into an ESG rating, particularly the modeling choices involved in their construction. The authors provide a step-by-step illustration using companies in the global automobiles industry with “raw” ESG data from four leading ESG data providers. They discuss the differences in the metrics measured, how they are measured, and how they are combined and aggregated. ESG ratings are complex but just because something is complex does not mean it isn’t useful or informative. The authors highlight the rich set of information that underlies ESG ratings, which can be used by investors. They also stress the need for analyses using ESG ratings to acknowledge (at a minimum) and address (ideally) the differences between rating frameworks.","PeriodicalId":213872,"journal":{"name":"The Journal of Impact and ESG Investing","volume":"214 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114799835","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Leveraging ESG Data from Multiple Providers in Equity and Credit Markets 利用来自股票和信贷市场多个供应商的ESG数据
The Journal of Impact and ESG Investing Pub Date : 2023-07-27 DOI: 10.3905/jesg.2023.1.078
Arik Ben Dor, Jingling Guan, Xiaming Zeng
{"title":"Leveraging ESG Data from Multiple Providers in Equity and Credit Markets","authors":"Arik Ben Dor, Jingling Guan, Xiaming Zeng","doi":"10.3905/jesg.2023.1.078","DOIUrl":"https://doi.org/10.3905/jesg.2023.1.078","url":null,"abstract":"Investors’ interest in incorporating environmental, social, and governance (ESG) considerations resulted in a large number of commercial providers offering firm-level ESG scores, which often differ, given the lack of a uniform and widely accepted definition of ESG. As a result, many investors try to identify the best provider, or develop their in-house scores. The authors look at how to efficiently leverage ESG data from multiple providers. They first discuss why it is important to standardize ESG scores across providers before taking an average, and they describe an algorithm to do so. Second, they show that the dispersion of ESG scores is useful beyond the average ESG levels. The authors find that ESG dispersions among providers can predict future returns in both stocks and corporate bonds even after controlling for the average ESG level and other systematic risk drivers. Their results suggest that investors would benefit from incorporating ESG rating dispersion in addition to the level of ESG rankings into their investment process.","PeriodicalId":213872,"journal":{"name":"The Journal of Impact and ESG Investing","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134020470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ESG Misconceptions: Putting Problems in Perspective Can Lead to Better Solutions ESG误解:正确看待问题可以带来更好的解决方案
The Journal of Impact and ESG Investing Pub Date : 2023-07-26 DOI: 10.3905/jesg.2023.1.077
Mozaffar Khan
{"title":"ESG Misconceptions: Putting Problems in Perspective Can Lead to Better Solutions","authors":"Mozaffar Khan","doi":"10.3905/jesg.2023.1.077","DOIUrl":"https://doi.org/10.3905/jesg.2023.1.077","url":null,"abstract":"The deliberate application of material environmental, social, and governance (ESG) considerations in investment analysis, security selection, and portfolio construction is a comparatively new phenomenon in investing. Material ESG factors are those relevant for investment performance. As the application of ESG has become more pervasive, it has come under increasing scrutiny. However, some common critiques, such as the use of proxies for unobserved data, are equally applicable to traditional financial analysis but are unrecognized as such. And in some cases, it is not necessarily clear why, or to what degree, identified problems, such as ratings disagreement, are problematic or unique to ESG. In this article the author examines some common critiques and misconceptions of ESG and suggests why they may be more debatable than is generally acknowledged. New regulation and disclosure rules intended to address these issues may be counterproductive to the extent the rules are premature or poorly designed.","PeriodicalId":213872,"journal":{"name":"The Journal of Impact and ESG Investing","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123973078","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ControversyBERT: Detecting Social Controversies and Their Impact on Stock Returns 发现社会争议及其对股票收益的影响
The Journal of Impact and ESG Investing Pub Date : 2023-07-26 DOI: 10.3905/jesg.2023.1.076
Harald Lohre, Sandra Nolte, Ananthalakshmi Ranganathan, Carsten Rother, Margit Steiner
{"title":"ControversyBERT: Detecting Social Controversies and Their Impact on Stock Returns","authors":"Harald Lohre, Sandra Nolte, Ananthalakshmi Ranganathan, Carsten Rother, Margit Steiner","doi":"10.3905/jesg.2023.1.076","DOIUrl":"https://doi.org/10.3905/jesg.2023.1.076","url":null,"abstract":"Companies linked to social controversies experience an average drop in returns of more than 200 basis points in the days surrounding the outbreak of controversial news. To identify such social controversy events, we build ControversyBERT, a large language model trained on a sample of one million news headlines to detect reports of controversial incidents in daily news feeds. Among the eight examined social dimensions, controversies surrounding violations of product safety standards, labor standards, as well as consumer data safety and data privacy breaches significantly affect firm returns. The corresponding stock price reaction is negative in all considered geographic regions and is driven by small- to medium-market-capitalization companies for which information diffusion is slowest. Even though the buildup in controversial news sees most of the negative price reaction occurring before the event, our controversy indicator can help in avoiding about 30% of the overall effect by the timely divesting of holdings in the identified companies.","PeriodicalId":213872,"journal":{"name":"The Journal of Impact and ESG Investing","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134115479","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Green Efficient Frontiers: Practical Considerations in Constructing Sustainability Portfolios 绿色高效前沿:构建可持续性投资组合的实践思考
The Journal of Impact and ESG Investing Pub Date : 2023-07-19 DOI: 10.3905/jesg.2023.1.075
Robert A. Stubbs, Melissa R. Brown
{"title":"Green Efficient Frontiers: Practical Considerations in Constructing Sustainability Portfolios","authors":"Robert A. Stubbs, Melissa R. Brown","doi":"10.3905/jesg.2023.1.075","DOIUrl":"https://doi.org/10.3905/jesg.2023.1.075","url":null,"abstract":"As asset owners transition to sustainable investing, many seek portfolios with low tracking error to the core benchmarks they are replacing. Multiple considerations must be made when constructing such portfolios. The trade-off between tracking error, sustainability goals, and industry exposure, for example, must be managed. The authors illustrate the trade-offs across these three dimensions for a variety of sustainability metrics. In addition, sustainability portfolios may use one metric in the construction of the portfolio but may be judged on other metrics. The authors show that a portfolio optimized for one metric generally has favorable active exposure to other sustainability metrics, although less than that predicted by the linear relationship between the metrics. They also show that if a secondary metric is considered in the optimization objective, that metric has more favorable active exposure to the metric than that predicted by the linear relationship with the primary metric. The authors show that despite the low correlation across metrics, constructing portfolios with favorable active exposure to multiple sustainability metrics is possible and may yield disproportional benefits.","PeriodicalId":213872,"journal":{"name":"The Journal of Impact and ESG Investing","volume":"34 127","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132973300","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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