ABSTRACT

In this paper, we examine the impact of including environmental, social and governance (ESG) criteria in the allocation of equity portfolios. We focus on the risk and return characteristics of the resulting ESG portfolios and investment strategies. Two specific measures are considered to quantify the ESG performance of a company; the ESG rating and the greenhouse gas (GHG) emission intensity. For both measures, we carry out empirical portfolio analyses with assets in either the STOXX Europe 600 or the Russell 1000 index. The ESG rating data analysis does not provide clear-cut evidence for enhanced performance of portfolios with either high or low ESG scores. We moreover illustrate that the choice of rating agency has an impact on the performance of ESG-constrained portfolios. The analysis on GHG intensities shows that portfolios with reduced emissions do not necessarily have increased risk or diminished returns.

摘要

在本文中，我们研究了将环境、社会和治理（ESG）标准纳入股票投资组合配置的影响。我们关注由此产生的 ESG 投资组合和投资策略的风险和回报特征。考虑采用两项具体措施来量化公司的 ESG 绩效；ESG 评级和温室气体 (GHG) 排放强度。对于这两项指标，我们对 STOXX Europe 600 或 Russell 1000 指数中的资产进行了实证投资组合分析。ESG 评级数据分析并没有提供明确的证据来证明 ESG 分数高或低的投资组合的业绩有所提高。此外，我们还表明，评级机构的选择会对 ESG 约束的投资组合的绩效产生影响。