Responsible investing: The ESG-efficient frontier *

• 成果类型: Article
• 署名作者: Pedersen, Lasse Heje; Fitzgibbons, Shaun; Pomorski, Lukasz
• 署名单位: Copenhagen Business School; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.11.001
• 发表日期: 2021
• 页码: 572-597
• 关键词: portfolio choice; ESG; Socially responsible investing; Impact investing; Sustainable investing; CSR; carbon; governance

摘要

We propose a theory in which each stock's environmental, social, and governance (ESG) score plays two roles: (1) providing information about firm fundamentals and (2) affecting investor preferences. The solution to the investor's portfolio problem is characterized by an ESG-efficient frontier, showing the highest attainable Sharpe ratio for each ESG level. The corresponding portfolios satisfy four-fund separation. Equilibrium asset prices are determined by an ESG-adjusted capital asset pricing model, showing when ESG raises or lowers the required return. Combining several large data sets, we compute the empirical ESGefficient frontier and show the costs and benefits of responsible investing. Finally, we test our theory's predictions using proxies for E (carbon emissions), S, G, and overall ESG. (c) 2020 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license ( http://creativecommons.org/licenses/by-nc-nd/4.0/ )