Dynamic ESG Equilibrium

• 成果类型: Article
• 署名作者: Avramov, Doron; Lioui, Abraham; Liu, Yang; Tarelli, Andrea
• 署名单位: Reichman University; Universite Catholique de Lille; EDHEC Business School; University of Hong Kong; Catholic University of the Sacred Heart
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.03491
• 发表日期: 2025
• 关键词: esg; dynamic equilibrium; asset pricing; preference shock

摘要

This paper proposes a conditional asset pricing model that integrates environmental, social, and governance (ESG) demand and supply dynamics. Shocks in the demand for sustainable investing represent a novel risk source, characterized by diminishing marginal utility and positive premium. Green assets exhibit positive exposure to ESG demand shocks, hence commanding higher premia. Conversely, time-varying convenience yield leads to lower expected returns for green assets. Moreover, ESG demand shocks have positive contemporaneous effects on unexpected returns, contributing to large positive payoffs in the green-minus-brown portfolio over extended horizons. The model predictions align closely with evidence on return spreads between green and brown assets, further reinforcing the apparent gap between realized and expected spreads.