【前沿追踪】ESG投资与表现主题的顶刊分享
ESG投资与表现主题的顶刊分享
可持续发展已成为21世纪商业的主题，也是目前学术和实践界的一个重要研究议题。ESG是一种关注环境、社会和治理的非财务性企业评价体系，推动企业从单一追求自身利益最大化到追求社会价值最大化，也是推动企业可持续发展的系统方法论，是联合国责任投资原则(UNPRI)衍生出来的一套评价准则。ESG概念最早由联合国环境规划署在2004年首次提出，要求企业在发展过程中要注重环境保护责任、履行社 会责任、完善公司治理责任。本次围绕“ESG投资与表现”的主题，选取近3年发表在国外顶刊的4篇文章进行分享。Improving Hotels‘ Operational Efficiency Through ESG Investment: A Risk Management Perspective一文，探究了ESG表现对公司效率的影响。Analyzing Active Fund Managers’Commitment to ESG: Evidence from the United Nations Principles for Responsible Investment一文分析了美国共同基金签署PRI后的情况，它们是否影响ESG表现的提升。The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China一文，分析了应对新冠肺炎疫情引发的市场范围内的金融危机期间，ESG表现所扮演的角色。探究了在危机期间ESG表现对投资组合收益、金融风险等的影响。Is ESG mutual fund quality in the eye of the beholder? An experimental study of investor responses to ESG fund strategies一文分析了，ESG共同基金将ESG纳入投资组合的方式是否会影响散户投资者对ESG基金的可持续质量、财务质量和/或整体质量的感知。
Part 1
Improving Hotels’ Operational Efficiency Through ESG Investment: A Risk Management Perspective
通过ESG投资提高酒店运营效率:风险管理视角
Keywords:
hotel efficiency；ESG；data envelopment analysis；crisis management
关键词：
酒店效率，ESG，数据包络分析，危机管理
Abstract:
Though environment-social-governance (ESG) practices are increasingly prevalent in the business world, academic research about the impact of ESG on firms’efficiency remains in its infancy. In this study sampling 24 international hotel firms during the period of 2013–2019, we examine how ESG standards improve these hotels’operational efficiency obtained via data envelopment analysis (DEA). We further investigate how ESG can help manage a crisis by examining the period before and after the COVID-19 pandemic. Our results reveal that ESG can indeed enhance hotels’efficiency. Specifically, the social and environmental aspects are the most important factors that contribute to the operational efficiency of hotel firms. In the context of the COVID-19 pandemic, hotel firms with the best ESG practice can be more efficient than others, especially those that have very high environmental and social scores. Overall, our findings suggest that hotel firms should consider ESG investment, not only as an effective and sustainable strategy during normal times but also as a crisis management strategy to overcome unexpected crises that may arise in the future.
摘要：
虽然环境-社会-治理(ESG)实践在商业世界中越来越普遍，但关于ESG对公司效率影响的学术研究仍处于起步阶段。本研究以2013-2019年期间24家国际酒店公司为样本，通过数据包络分析(DEA)研究了ESG标准如何提高这些酒店的运营效率。通过研究2019新冠病毒大流行前后的时期，进一步研究了ESG如何帮助管理危机。我们的研究结果表明，ESG确实可以提高酒店的效率。具体来说，社会和环境方面是影响酒店企业运营效率的最重要因素。在2019新冠病毒大流行的背景下，拥有最佳ESG实践的酒店公司可能比其他酒店公司效率更高，尤其是那些在环境和社会方面得分很高的酒店公司。总体而言，研究结果表明，酒店企业不仅应将ESG投资视为正常时期的有效和可持续战略，还应将其视为一种危机管理战略，以克服未来可能出现的意外危机.
文献来源：
Kyunghwa C, Lan T M N, Dung T T N. Improving Hotels’ Operational Efficiency Through ESG Investment: A Risk Management Perspective[J]. Service Science,2023.
Part 2
Analyzing Active Fund Managers’Commitment to ESG: Evidence from the United Nations Principles for Responsible Investment
分析主动型基金经理对ESG的承诺:来自联合国责任投资原则的证据
Keywords:
ESG；SRI；UN PRI；asset manager；mutual funds；greenwashing
关键词：
ESG,SRI,UN PRI，资产管理经理，共同基金，洗绿
Abstract:
The United Nations Principles for Responsible Investment (PRI) is the largest global environmental, social, and governance (ESG) initiative in the asset-management industry to date. We analyze what happens after active U.S. mutual funds sign the PRI to assess whether they exhibit ESG implementation. We find that PRI signatories attract a large fund inflow, but we do not observe improvements in fund-level ESG scores or fund returns. We consider a battery of ways to proxy for funds’ ESG incorporation (e.g., entry/exit, screening, engagement, voting for pro-ESG proposals), but fail to observe evidence of meaningful on average follow-through. Next, we explore cross-sectional fund characteristics and find that only quant funds exhibit small improvements in ESG performance versus other funds, mainly through buying high-ESG-performing stocks. Furthermore, we note that signatories are not superior performers in ESG issues prior to joining the PRI relative to non-PRI funds, but PRI affiliation tends to be widely advertised on company websites, marketing materials, and fund documents. Overall, a reasonable reader may perceive our findings as consistent with PRI funds’ greenwashing. We note, however, that what we uncover is based only on outcome-based measures and may miss some actual efforts of signatories.
摘要：
联合国负责任投资原则(PRI)是迄今为止资产管理行业最大的全球环境、社会和治理(ESG)倡议。我们分析了活跃的美国共同基金签署PRI后的情况，以评估它们是否表现出ESG实施情况。我们发现，PRI签署者吸引了大量资金流入，但我们没有观察到基金层面ESG得分或基金回报的改善。我们考虑了一系列代理基金加入ESG的方法(例如，加入/退出、筛选、参与、对支持ESG的提案投票)，但未能观察到有意义的平均后续行动的证据。接下来，我们探讨了基金的横截面特征，发现只有量化基金在ESG绩效方面比其他基金有小幅改善，主要是通过购买ESG表现良好的股票。此外，我们注意到，在加入PRI之前，签约方在ESG问题上的表现并不比非PRI基金好，但PRI关系往往在公司网站、营销材料和基金文件上被广泛宣传。总的来说，一个理性的读者可能会认为我们的发现与PRI基金的绿色清洗是一致的。然而，我们注意到，所发现的只是基于结果的衡量标准，可能会错过签署国的一些实际努力。
文献来源：
Soohun K, Aaron Y. Analyzing Active Fund Managers’ Commitment to ESG: Evidence from the United Nations Principles for Responsible Investment[J]. Management Science, 2022.
Part 3
The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China
金融危机时期ESG表现的作用：来自中国COVID-19时期的证据
Keywords:
COVID-19；Epidemic；China；ESG
关键词：
新冠肺炎，流行病，中国，ESG
Abstract:
We examine the role of ESG performance during market-wide financial crisis, triggered in response to the COVID-19 global pandemic. The unique circumstances create an inimitable opportunity to question if investors interpret ESG performance as a signal of future stock performance and/or risk mitigation. Using a novel dataset covering China’s CSI 300 constituents, we show (i) high-ESG portfolios generally outperform low-ESG portfolios (ii) ESG performance mitigates financial risk during financial crisis and (iii) the role of ESG performance is attenuated in ‘normal’ times, confirming its incremental importance during crisis. We phrase the results in the context of ESG investment practices.
摘要：
我们考察了在应对新冠肺炎疫情引发的市场范围内的金融危机期间，ESG表现所扮演的角色。这种独特的情况创造了一个无与伦比的机会，让人质疑投资者是否将ESG表现解读为未来股票表现和/或风险缓解的信号。使用涵盖中国沪深300指数的新数据集，我们发现：(I)高ESG投资组合的表现通常优于低ESG投资组合；(II)ESG表现在金融危机期间降低了金融风险；(III)ESG表现的作用在“正常”时期减弱，证实了其在危机期间的增量重要性。我们在ESG投资实践的背景下对研究结果进行了表述。
文献来源：
Broadstock D C,Chan K, Cheng L T, & Wang X. The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China[J]. Finance Research Letters,2021.
Part 4
Is ESG mutual fund quality in the eye of the beholder? An experimental study of investor responses to ESG fund strategies
ESG共同基金的质量是否因人而异?投资者对ESG基金策略反应的实验研究
Keywords:
ESG-investment；perceived sustainable quality；perceived quality；retail investors；socially responsible investment；sustainable investment
关键词：
ESG投资、感知可持续质量、感知质量、散户投资者、社会责任投资、可持续投资
Abstract:
ESG-profiled mutual funds (funds incorporating some form of Environmental, Social, or Governance-related concern) is an increasingly prominent part of the financial services industry. While this category of funds may look homogenous on the surface, the fact is that there is there is considerable variation in how funds choose to account for ESG concern in the investment portfolio. In this paper, we ask whether these strategic choices surrounding the implementation of ESG affect retail investors' perception of sustainable quality, financial quality, and/or perceived overall quality of the ESG-fund. Through two experiments (n = 261; n = 437), we find that choice of ESG-strategy (exclusion, inclusion, or engagement) impacts perceived mutual fund quality, with a marked preference for the inclusion strategy. Surprisingly, however, we find that the impact on overall fund quality is mediated by perceived financial quality, not perceived sustainable quality. In a similar fashion, we also find that implementing the strategy through in-house sustainability experts, as opposed to relying on external sustainability expertise, positively affect perceived quality, through perceived financial quality. In all, these results highlight that the manner in which ESG factors are integrated in the investment portfolio can affect perceived quality of mutual funds, as investors consciously or unconsciously assign different financial expectations to the strategies.
摘要：
ESG共同基金(包含某种形式的环境、社会或治理相关关注的基金)是金融服务行业中日益突出的一部分。虽然这类基金表面上看起来很相似，但事实是，基金在投资组合中如何考虑ESG问题存在相当大的差异。在本文中，我们探讨了围绕ESG实施的这些战略选择是否会影响散户投资者对ESG基金的可持续质量、财务质量和/或整体质量的感知。通过两次实验(n = 261;n = 437)，我们发现ESG策略的选择(排除、包容或参与)会影响感知到的共同基金质量，并明显倾向于包容策略。然而，令人惊讶的是，我们发现对整体资金质量的影响是通过感知的财务质量而不是感知可持续质量介导的。以类似的方式，我们还发现通过内部可持续发展的专家实施战略，而不是依赖外部可持续发展的专业知识，通过感知财务质量积极影响感知质量。总之，这些结果强调了ESG因素在投资组合中的整合方式可以影响共同基金的感知质量。因为投资者有意识或无意识地为这些策略分配不同的财务期望。
文献来源：
Jeanette C H, Jonas N. Is ESG mutual fund quality in the eye of the beholder? An experimental study of investor responses to ESG fund strategies[J]. Business Strategy and the Environment, 2022.
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图文：韩秀丽
编辑：李发珍
审核：宁靓、姜忠辉