ESG 的终结？环境、社会和治理投资组合与非环境、社会和治理投资组合之间的回报溢出效应

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-09-07 DOI:10.1016/j.frl.2024.106074

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引用次数: 0

摘要

我们研究了披露环境、社会和治理（ESG）信息的公司与未披露ESG信息的公司之间的回报溢出效应。以 2010 年至 2022 年的中国企业为样本，我们发现环境、社会和治理投资组合的回报对非环境、社会和治理投资组合的回报具有更强的溢出效应。此外，近年来两种投资组合之间的溢出效应明显下降，表明投资者认识到了ESG的独特优势。重要的全球事件，如股市崩盘、中美贸易战和流行病，会增加 ESG 对非 ESG 投资组合的溢出效应。

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The end of ESG? Return spillover between ESG and non-ESG portfolios

We investigate the return spillover between firms with environmental, social and governance (ESG) and non-ESG disclosure. Using a sample of Chinese firms from 2010 to 2022, we find that the ESG portfolio return has a stronger spillover effect on the non-ESG portfolio return. Moreover, the spillover effect between the two portfolios has decreased significantly in recent years, indicating that investors recognise ESG's unique advantage. Important global events, such as stock market crashes, the Sino–US trade wars and epidemics, increase ESG spillover into non-ESG portfolios.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance