Sustainable investing in equilibrium

• 成果类型: Article
• 署名作者: Pastor, L'ubos; Stambaugh, Robert F.; Taylor, Lucian A.
• 署名单位: University of Chicago; University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK; National Bank of Slovakia
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.12.011
• 发表日期: 2021
• 页码: 550-571
• 关键词: Sustainable investing; Socially responsible investing; ESG; Social impact

摘要

We model investing that considers environmental, social, and governance (ESG) criteria. In equilibrium, green assets have low expected returns because investors enjoy holding them and because green assets hedge climate risk. Green assets nevertheless outperform when positive shocks hit the ESG factor, which captures shifts in customers' tastes for green products and investors' tastes for green holdings. The ESG factor and the market portfolio price assets in a two-factor model. The ESG investment industry is largest when investors' ESG preferences differ most. Sustainable investing produces positive social impact by making firms greener and by shifting real investment toward green firms. (c) 2021 Elsevier B.V. All rights reserved.