Sustainable investing in equilibrium

被引：592
作者：
Pastor, L'ubos [1 ,3 ,4 ,5 ]
Stambaugh, Robert F. [2 ,3 ]
Taylor, Lucian A. [2 ]
机构：
[1] Univ Chicago, 5807 S Woodlawn Ave, Chicago, IL 60637 USA
[2] Univ Penn, 3620 Locust Walk, Philadelphia, PA 19104 USA
[3] NBER, Cambridge, MA 02138 USA
[4] CEPR, London, England
[5] Natl Bank Slovakia, Bratislava, Slovakia
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2021年 / 142卷 / 02期
关键词：
Sustainable investing; Socially responsible investing; ESG; Social impact; RISK; PERFORMANCE; INVESTMENT;
D O I：
10.1016/j.jfineco.2020.12.011
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
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.
引用
收藏
页码：550 / 571
页数：22
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