The end of ESG? Return spillover between ESG and non-ESG portfolios

被引：0
|
作者：
Zhang, Jining [1 ]
He, Feng [1 ]
机构：
[1] Capital Univ Econ & Business, Sch Finance, Beijing, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2024年 / 69卷
基金：
中国国家自然科学基金;
关键词：
ESG; Spillover; Stock return; Chinese market;
D O I：
10.1016/j.frl.2024.106074
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the return spillover between firms with environmental, social and governance (ESG) and non-ESG disclosure. Using a sample of Chinese firms from 2010 to 2022, we find that the ESG portfolio return has a stronger spillover effect on the non-ESG portfolio return. Moreover, the spillover effect between the two portfolios has decreased significantly in recent years, indicating that investors recognise ESG's unique advantage. Important global events, such as stock market crashes, the Sino-US trade wars and epidemics, increase ESG spillover into non-ESG portfolios.
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页数：7
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