Econ Papers Daily / 期刊论文
流动驱动的ESG回报
Flow‐Driven ESG Returns
摘要
I show that the recent returns to environmental, social, and governance (ESG) investing are strongly driven by price impact from flows toward ESG portfolios. Using data on trades, I estimate the market's ability to accommodate ESG flows, which is given by the elasticity of substitution between ESG and other stocks. I show that every dollar flowing toward a representative ESG portfolio increases the market value of ESG stocks by $0.8. The growing institutional flows into the ESG portfolio are the main driver of ESG returns and have caused an annual flow‐driven return of 1.9%. In the absence of flows, ESG stocks would not have outperformed the market from 2012 to 2023.
中文摘要
我表明，近期环境、社会和治理（ESG）投资的回报在很大程度上是由资金流向ESG投资组合所带来的价格冲击所驱动的。利用交易数据，我估算了市场吸收ESG资金流的能力，该能力由ESG股票与其他股票之间的替代弹性所决定。我表明，每流向一个代表性ESG投资组合一美元，ESG股票的市值就会增加0.8美元。不断增长的机构资金流入ESG投资组合是ESG回报的主要驱动因素，并带来了1.9%的年化资金流驱动回报。在没有资金流的情况下，ESG股票在2012年至2023年期间不会跑赢市场。