ESG risk and returns implied by demand-based asset pricing models

被引：0
|
作者：
Zhang, Chi [1 ]
Li, Xinyang [1 ]
Tamoni, Andrea [2 ]
van Beek, Misha [1 ]
Ang, Andrew [1 ]
机构：
[1] BlackRock Inc, New York, NY 10001 USA
[2] Rutgers Business Sch, Newark, NJ USA
来源：
JOURNAL OF ASSET MANAGEMENT | 2024年 / 25卷 / 03期
关键词：
Sustainability; ESG; Equilibrium; Demand-based asset pricing; Stock predictability; Scenarios;
D O I：
10.1057/s41260-024-00354-3
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate how changes in demand for Environment, Social and Governance (ESG) characteristics affect stock prices. We consider three scenarios: increased demand for ESG characteristics by investors, shifts in assets under management from institutions with low demand for ESG characteristics to those with high demand, and changes in the ESG characteristics of the stocks themselves. To compute the effects of the scenarios, we use a demand-based asset pricing model which is calibrated to individual stock-level holdings of institutional investors. We find that these scenarios lead to significantly different returns of stocks with different ESG characteristics.
引用
收藏
页码：203 / 221
页数：19
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