Sustainable investing with ESG rating uncertainty

被引：292

作者：

Avramov, Doron ^{[1
]}

Cheng, Si ^{[2
]}

Lioui, Abraham ^{[3
,4
]}

Tarelli, Andrea ^{[5
]}

机构：

[1] Interdisciplinary Ctr IDC, Herzliyya, Israel

[2] Chinese Univ Hong Kong, Hong Kong, Peoples R China

[3] EDHEC Business Sch, Nice, France

[4] EDHEC & Sci Beta Res Chair, Nice, France

[5] Catholic Univ Milan, Milan, Italy

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2022年 / 145卷 / 02期

关键词：

ESG; Rating uncertainty; Portfolio choice; Capital asset pricing model; CORPORATE SOCIAL-RESPONSIBILITY; RISK;

D O I：

10.1016/j.jfineco.2021.09.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper analyzes the asset pricing and portfolio implications of an important barrier to sustainable investing: uncertainty about the corporate ESG profile. In equilibrium, the market premium increases and demand for stocks declines under ESG uncertainty. In addition, the CAPM alpha and effective beta both rise with ESG uncertainty and the negative ESG-alpha relation weakens. Employing the standard deviation of ESG ratings from six major providers as a proxy for ESG uncertainty, we provide supporting evidence for the model predictions. Our findings help reconcile the mixed evidence on the cross-sectional ESG-alpha relation and suggest that ESG uncertainty affects the risk-return trade-off, social impact, and economic welfare. (C) 2021 Elsevier B.V. All rights reserved.

引用

页码：642 / 664

页数：23

共 50 条

[21] ESG sentiments and divergent ESG scores: suggesting a framework for ESG rating
Ajithakumari Vijayappan Nair Biju
Snehith Jacob Kodiyatt
P. P. Nithi Krishna
Geetha Sreelekshmi
[J]. SN Business & Economics, 3 (12):
[22] Quantifying the Returns of ESG Investing: An Empirical Analysis with Six ESG Metrics
Berg, Florian
Lo, Andrew W.
Rigobon, Roberto
Singh, Manish
Zhang, Ruixun
[J]. JOURNAL OF PORTFOLIO MANAGEMENT, 2024, 50 (08): : 216 - 238
[23] THE FUTURE OF INVESTING - SUSTAINABLE AND RESPONSIBLE INVESTING
Formankova, Sylvie
Trenz, Oldrich
Faldik, Oldrich
Kolomaznik, Jan
Vanek, Patrik
[J]. MARKETING AND MANAGEMENT OF INNOVATIONS, 2018, (02): : 94 - 102
[24] The fundamental effects of ESG disclosure quality in boosting the growth of ESG investing
Wen, Hui
Ho, Ken C.
Gao, Jijun
Yu, Li
[J]. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2022, 81
[25] ESG and Behavioral Finance: Why ESG Investing Is Primarily a Psychological Phenomenon
Shefrin, Hersh
[J]. JOURNAL OF INVESTING, 2024, 33 (05): : 7 - 33
[26] THE CHALLENGE OF RATING ESG PERFORMANCE
Macmahon, Simon
[J]. HARVARD BUSINESS REVIEW, 2020, 98 (05) : 52 - 54
[27] COVID-19, ESG investing, and the resilience of more sustainable stocks: Evidence from European firms
Cardillo, Giovanni
Bendinelli, Ennio
Torluccio, Giuseppe
[J]. BUSINESS STRATEGY AND THE ENVIRONMENT, 2023, 32 (01) : 602 - 623
[28] ESG investing: A chance to reduce systemic risk
Cerqueti, Roy
Ciciretti, Rocco
Dalo, Ambrogio
Nicolosi, Marco
[J]. JOURNAL OF FINANCIAL STABILITY, 2021, 54
[29] STATISTICAL STUDY OF THE DEVELOPMENT OF ESG-INVESTING
Karelina, Mariia
Mkhitarian, Vladimir
Dzeranova, Svetlana
[J]. 16TH INTERNATIONAL DAYS OF STATISTICS AND ECONOMICS, 2022, 2022, : 210 - 219
[30] Member perceptions of ESG investing through superannuation
de Zwaan, Laura
Brimble, Mark
Stewart, Jenny
[J]. SUSTAINABILITY ACCOUNTING MANAGEMENT AND POLICY JOURNAL, 2015, 6 (01) : 79 - 102

← 1 2 3 4 5 →