国际市场对主权ESG的风险
Christian Morgenstern1, Guillaume Coqueret2, James Kelly3
1MRC Centre for Global Infectious Disease Analysis, Imperial College London, Norfolk Place, London, UK.
概括
这项研究研究了主权环境,社会和治理 (ESG) 评分如何影响全球股票和债券市场. 尽管对ESG投资的兴趣日益增长,但结果显示对市场回报的影响很小,这表明ESG不是主要的价格驱动因素.
科学领域:
- 金融 金融 金融 金融 金融
- 经济学 经济学 经济学
- 可持续性研究 可持续性研究
背景情况:
- 全球对环境,社会和治理 (ESG) 投资的兴趣日益增长.
- 关于主权ESG评分对国际金融市场的影响的经验证据有限.
- 需要了解全球范围内对ESG因素的需求.
研究的目的:
- 量化股票和债券市场对主权ESG评分的敏感性.
- 通过分析市场反应来评估对ESG因素的全球需求.
- 研究ESG评分与宏观经济指标 (如GDP增长) 之间的关系.
主要方法:
- 在问题层面上对纵向模型的估计.
- 对主权ESG因素对股票和固定收益指数的风险分析.
- 对ESG评分及其变化的市场敏感性的量化.
主要成果:
- 没有强有力的证据表明ESG因素对国际市场回报有重大影响.
- 调查结果表明,国家一级的ESG需求不是金融价格的主要驱动因素.
- 在国家级GDP增长和ESG评分之间发现了显著的积极关联.
结论:
- 目前市场对国家层面的ESG因素的需求并没有显著影响资产价格.
- 主权的ESG评分显示出与经济增长的显著相关性.
- 可能需要进一步的研究来探索ESG和金融市场之间的细微关系.
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