环境、社会和治理要素与股票回报：房地产投资信托的证据

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2024-11-01 DOI:10.1016/j.irfa.2024.103716

Kwok Yuen Fan , Jianfu Shen , Eddie C.M. Hui , Louis T.W. Cheng

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引用次数: 0

摘要

本研究探讨了环境、社会和治理（ESG）绩效的各个组成部分与美国房地产投资信托基金（REITs）未来股票回报率之间的关系。研究结果表明，环境绩效与预期回报之间存在负相关，而社会绩效与未来回报之间存在正相关。此外，研究还探讨了所观察到的环境（社会）绩效与股票回报率之间的负（正）关系是否可归因于环境、社会和治理要素对未来公司基本面的可预测性或投资者对不同环境、社会和治理要素的偏好。结果表明，环境绩效对房地产投资信托基金的公司基本面（包括未来利润、外部融资和股票风险）具有不利影响。相反，社会绩效与公司未来基本面呈正相关。机构投资者不会大幅减少对环境绩效较好的房地产投资信托基金的所有权，但会增加对社会绩效较好的房地产投资信托基金的所有权。总之，本研究强调，环境、社会和公司治理与股票之间的关系因所考虑的具体环境、社会和公司治理内容而异。

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ESG components and equity returns: Evidence from real estate investment trusts

This study examines the relationships between the individual components of environmental, social, and governance (ESG) performance and future stock returns of US Real Estate Investment Trusts (REITs). The findings demonstrate a negative association between environmental performance and expected returns, while social performance shows a positive relationship with future returns. Moreover, the study investigates whether the observed negative (positive) relationship between environmental (social) performance and equity returns can be attributed to the predictability of ESG components on future firm fundamentals or investor preferences towards different ESG components. The results indicate that environmental performance has a detrimental impact on firm fundamentals in REITs, including future profits, external financing, and stock risk. Conversely, social performance exhibits a positive association with future firm fundamentals. Institutional investors do not significantly reduce ownership to REITs with strong environmental performance but increase their ownership of REITs with strong social performance. In summary, this study highlights that the relationship between ESG and equity varies depending on the specific ESG components under consideration.

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.