Sustainable investing with ESG rating uncertainty

被引：510

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 34 条

[1] Institutional investor preferences and price pressure: The case of corporate spin-offs
Abarbanell, JS
Bushee, BJ
Raedy, JS
[J]. JOURNAL OF BUSINESS, 2003, 76 (02) : 233 - 261
[2] Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings
Agarwal, Vikas
Fos, Vyacheslav
Jiang, Wei
[J]. MANAGEMENT SCIENCE, 2013, 59 (06) : 1271 - 1289
[3] Why and How Investors Use ESG Information: Evidence from a Global Survey
Amel-Zadeh, Amir
Serafeim, George
[J]. FINANCIAL ANALYSTS JOURNAL, 2018, 74 (03) : 87 - 103
[4] Aggregate Confusion: The Divergence of ESG Ratings*
Berg, Florian
Kolbel, Julian F.
Rigobon, Roberto
[J]. REVIEW OF FINANCE, 2022, 26 (06) : 1315 - 1344
[5] Bolton Patrick., 2020, J FINANC ECON, DOI DOI 10.3386/W26968
[6] On persistence in mutual fund performance
Carhart, MM
[J]. JOURNAL OF FINANCE, 1997, 52 (01) : 57 - 82
[7] Do ratings of firms converge? Implications for managers, investors and strategy researchers
Chatterji, Aaron K.
Durand, Rodolphe
Levine, David I.
Touboul, Samuel
[J]. STRATEGIC MANAGEMENT JOURNAL, 2016, 37 (08) : 1597 - 1614
[8] Institutional shareholders and corporate social responsibility
Chen, Tao
Dong, Hui
Lin, Chen
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2020, 135 (02) : 483 - 504
[9] Active Ownership
Dimson, Elroy
Karakas, Oguzhan
Li, Xi
[J]. REVIEW OF FINANCIAL STUDIES, 2015, 28 (12) : 3225 - 3268
[10] Do institutional investors drive corporate social responsibility? International evidence
Dyck, Alexander
Lins, Karl V.
Roth, Lukas
Wagner, Hannes F.
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2019, 131 (03) : 693 - 714

← 1 2 3 4 →