环境意识与股票收益的关系

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance Pub Date : 2025-07-04 DOI:10.1016/j.iref.2025.104383

Matthias Horn , Andreas Oehler , Amal Dabbous , Alexandre Croutzet

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引用次数: 0

摘要

我们分析了绿色股票溢价，并评估了全球环保意识的衡量是否可以预测MSCI北美全市值指数中上市股票2010年至2019年的回报。Sustainalytics的ESG评级的e支柱得分被用作公司环境风险的代理。我们发现，平均而言，环境风险较高的股票表现出更高的回报和α。当投资者的环保意识增强时，股票收益平均会下降。然而，在此期间，更环保的公司的股票受到的影响较小。因此，环境风险较低的股票会缩小收益和alpha的差异，甚至比环境风险较高的股票表现出更高的收益和alpha。

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The relation between environmental awareness and stock returns

We analyze the green stock premium and assess if a measure of global environmental awareness can forecast the returns of stocks listed in the MSCI North America All Cap Index from 2010 to 2019. The E-pillar score of Sustainalytics’ ESG rating is used as a proxy for companies' environmental risk. We find that stocks with a higher environmental risk show higher returns and alphas, on average. When environmental awareness among investors increases stock returns decrease, on average. However, stocks of more environmentally friendly companies suffer less during such periods. Therefore, stocks with lower environmental risk reduce the differences in returns and alphas or even show higher returns and alphas than stocks with higher environmental risk.

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来源期刊

International Review of Economics & Finance Multiple-

CiteScore

7.30

自引率

2.20%

发文量

253

期刊介绍： The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.