环境、社会和公司治理与能源和公用事业投资组合的绩效:来自澳大利亚的证据

IF 2.3 Q2 BUSINESS, FINANCE
Scott J. Niblock
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引用次数: 0

摘要

目的本研究旨在确定环境、社会和治理(ESG)实践对澳大利亚能源和公用事业投资业绩的影响。设计/方法/途径利用 2014 年至 2022 年 S&P/ASX 300 上市能源和公用事业公司的月度回报和 ESG 分数构建了常规和 ESG 评级投资组合。研究结果表明,与整体 ESG 和环境投资组合相关的 ESG 分数越低,与市场相比(但与传统和其他 ESG 投资组合相比)的表现越好。高 ESG 分数似乎不会影响能源和公用事业投资组合的表现,这与人们对采用 ESG 应为投资者带来卓越风险回报结果的预期形成了鲜明对比。研究结果还表明,逆向投资方法可能是ESG评分高的投资组合的合理业绩指标。该研究为政策制定者、监管者、基金经理和投资者提供了ESG投资见解,从而为相关文献做出了贡献。与机构对环境、社会和公司治理实践的看法和有效市场假说一致,证据表明,无论环境、社会和公司治理得分高低,投资者都应考虑被动投资于多元化能源和公用事业投资组合或低成本指数基金。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
ESG and the performance of energy and utility portfolios: evidence from Australia

Purpose

This study aims to establish the effect of environmental, social and governance (ESG) practices on Australian energy and utility investment performance.

Design/methodology/approach

Conventional and ESG-rated portfolios are constructed using monthly returns and ESG scores of S&P/ASX 300 listed energy and utility firms from 2014 to 2022. Portfolio performance is estimated using a four-factor regression model, controlling for any economic shocks associated with the COVID-19 pandemic.

Findings

The findings show that the lower the ESG score associated with the overall ESG and environmental portfolios, the greater the performance compared to the market (but not the conventional and other ESG portfolios). High ESG scores do not appear to influence the performance of the energy and utility portfolios, which contrasts expectations that the uptake of ESG should deliver superior risk-return outcomes for investors. The findings also indicate that a contrarian investment approach may be a reasonable performance indicator for high-rated ESG portfolios. ESG practices did not impact portfolio performance during the COVID-19 pandemic.

Originality/value

This research has contributed to the literature by offering ESG investment insights for policymakers, regulators, fund managers and investors. Consistent with the agency perspective on ESG practices and efficient market hypothesis, the evidence implies that, regardless of ESG scores (either high or low), investors should consider investing passively in diversified energy and utility portfolios or low-cost index fund equivalents.

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来源期刊
CiteScore
4.30
自引率
10.50%
发文量
43
期刊介绍: Topics addressed in the journal include: ■corporate finance, ■financial markets, ■money and banking, ■international finance and economics, ■investments, ■risk management, ■theory of the firm, ■competition policy, ■corporate governance.
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