ESG风险溢价和ESG意识的影响：美国和欧洲货币联盟市场之间的差异

IF 1.1 4区经济学 Q3 BUSINESS, FINANCE

Journal of Portfolio Management Pub Date : 2023-04-07 DOI:10.3905/jpm.2023.1.485

C. Koziol, S. Kuhn

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引用次数: 0

摘要

在本文中，作者分析了环境、社会和治理（ESG）投资对股票回报的影响。为此，他们遵循的理念是，投资者对ESG的认识越高，可持续股票的价格就越高。如果是这样的话，我们可以假设回报有两种相反的关系：积极的短期效应和消极的长期效应。为了从经验上区分这两种影响，他们使用谷歌趋势数据作为ESG意识的代表。通过研究美国和欧洲经济货币联盟（EMU）市场2010年至2020年的数据，作者发现了支持这两种假设的实证证据。此外，研究结果表明，在单个公司层面上，可持续股票对ESG因素的敞口较小，因此获得的ESG溢价较低。两个市场的比较表明，在从投资者不考虑ESG的状态过渡到投资者考虑ESG的州方面，美国市场比EMU市场更成熟。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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ESG Risk Premia and the Impact of ESG Awareness: Differences between the US and the EMU Markets

In this article, the authors analyze the impact of environmental, social, and governance (ESG) investing on stock returns. For this purpose, they follow the notion that higher ESG awareness of investors increases the prices of sustainable stocks. If so, one can hypothesize two opposing relationships for the return: a positive short-term effect and a negative long-term effect. To empirically separate between these two effects, they use Google Trend data as a proxy for ESG awareness. Examining data from 2010 to 2020 from the US and the European Economic and Monetary Union (EMU) markets, the authors find empirical evidence supporting both hypotheses. Moreover, the results show on the individual firm level that sustainable stocks have less exposure to an ESG-Factor and thus earn a lower ESG premium. The comparison of both markets shows that the US market is more mature than the EMU market regarding the transition from a state in which investors do not consider ESG to a state in which investors do consider ESG.

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来源期刊

Journal of Portfolio Management Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

28.60%

发文量

113

期刊介绍： Founded by Peter Bernstein in 1974, The Journal of Portfolio Management (JPM) is the definitive source of thought-provoking analysis and practical techniques in institutional investing. It offers cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more. Each quarterly issue of JPM features articles by the most renowned researchers and practitioners—including Nobel laureates—whose works define modern portfolio theory.