D. Avramov, Abraham Lioui, Yang Liu, Andrea Tarelli
{"title":"动态ESG平衡","authors":"D. Avramov, Abraham Lioui, Yang Liu, Andrea Tarelli","doi":"10.2139/ssrn.3935174","DOIUrl":null,"url":null,"abstract":"This paper develops and applies an equilibrium model that accounts for ESG demand and supply dynamics. In equilibrium, ESG preference shocks represent a novel risk source characterized by diminishing marginal utility and positive premium. Expected green asset returns are negatively associated with time-varying convenience yield, while exposures to ESG preference shocks lead to positive green premia. Augmenting these conflicting forces with positive contemporaneous effects of preference shocks on realized returns, the green-minus-brown portfolio delivers large positive payoffs for reasonably long horizons. Nonpecuniary benefits from ESG investing account for a nontrivial and increasing fraction of total consumption.","PeriodicalId":341271,"journal":{"name":"Decision-Making Models & Tools eJournal","volume":"9 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"9","resultStr":"{\"title\":\"Dynamic ESG Equilibrium\",\"authors\":\"D. Avramov, Abraham Lioui, Yang Liu, Andrea Tarelli\",\"doi\":\"10.2139/ssrn.3935174\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper develops and applies an equilibrium model that accounts for ESG demand and supply dynamics. In equilibrium, ESG preference shocks represent a novel risk source characterized by diminishing marginal utility and positive premium. Expected green asset returns are negatively associated with time-varying convenience yield, while exposures to ESG preference shocks lead to positive green premia. Augmenting these conflicting forces with positive contemporaneous effects of preference shocks on realized returns, the green-minus-brown portfolio delivers large positive payoffs for reasonably long horizons. Nonpecuniary benefits from ESG investing account for a nontrivial and increasing fraction of total consumption.\",\"PeriodicalId\":341271,\"journal\":{\"name\":\"Decision-Making Models & Tools eJournal\",\"volume\":\"9 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-10-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"9\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Decision-Making Models & Tools eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3935174\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Decision-Making Models & Tools eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3935174","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
This paper develops and applies an equilibrium model that accounts for ESG demand and supply dynamics. In equilibrium, ESG preference shocks represent a novel risk source characterized by diminishing marginal utility and positive premium. Expected green asset returns are negatively associated with time-varying convenience yield, while exposures to ESG preference shocks lead to positive green premia. Augmenting these conflicting forces with positive contemporaneous effects of preference shocks on realized returns, the green-minus-brown portfolio delivers large positive payoffs for reasonably long horizons. Nonpecuniary benefits from ESG investing account for a nontrivial and increasing fraction of total consumption.
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