投资组合分类中方法论ESG的不确定性

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-08-01 DOI:10.1016/j.ribaf.2025.103132

Ricardo Henriquez-Salman

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引用次数: 0

摘要

本研究系统考察了在环境、社会和治理（ESG）得分的背景下，不同的投资组合选择如何影响回报。分析显示，不同地理区域、行业部门和ESG得分之间的回报分布存在显著差异，这些数据来自三家ESG数据提供商。月平均非标误差为0.112%，超出标准误差。这种敏感性有助于解释文献中混杂的发现，从信号理论的角度来看，它破坏了ESG分数作为市场信号的可靠性。然而，根据ESG差异排序的投资组合，反映了ESG各维度的一致表现，始终产生正溢价和α，这表明平衡的ESG概况为投资者提供了更可信的信号。

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Methodological ESG uncertainty in portfolio sorts

This study systematically examines how different portfolio choices affect returns in the context of Environmental, Social, and Governance (ESG) scores. The analysis reveals substantial variations in return distributions across different geographical regions, industry sectors, and ESG scores using data from three ESG data providers. The average monthly non-standard error is 0.112% and exceeds standard errors. This sensitivity helps to explain the mixed findings in the literature and, from a signaling theory perspective, undermines the reliability of ESG scores as market signals. However, portfolios sorted on ESG disparity, reflecting consistent performance across ESG dimensions, consistently produce positive premia and alphas, suggesting that balanced ESG profiles provide more credible signals to investors.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance