ESG impact on financial corporate performance and portfolio returns: evidence of Australia and Japan
Environmental, Social, and Governance investing has undergone a radical shift; companies and investors have focused on the impact of the disclosure of the practices and policies related to the environment, social responsibility, and governance in their operational strategies and investment. The purp...
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| Formato: | Artículo |
| Lenguaje: | español |
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Universidad Autónoma de Nuevo León
2021
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| Acceso en línea: | https://vinculategica.uanl.mx/index.php/v/article/view/5 |
| _version_ | 1824328164816453632 |
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| author | Kazakakou Powaski, Margarita Chrissanthi Daza Ordoñez, Carolina Jáuregui Sánchez, Laura |
| author_facet | Kazakakou Powaski, Margarita Chrissanthi Daza Ordoñez, Carolina Jáuregui Sánchez, Laura |
| author_sort | Kazakakou Powaski, Margarita Chrissanthi |
| collection | Artículos de Revistas UANL |
| description | Environmental, Social, and Governance investing has undergone a radical shift; companies and investors have focused on the impact of the disclosure of the practices and policies related to the environment, social responsibility, and governance in their operational strategies and investment. The purpose of this paper is to demonstrate the impact that the ESG policies have on public companies' stock returns in Australia and Japan. Accounting and market-based measures are used to determine the impact ESG practices have on stock market index returns. The annual data used is of companies from Australia's S&P/ASX Index and Japan's Nikkei 225 Index, covering the period from 2005 to 2019. Fixed effect model regression was used to test the significant relationship between companies' stock returns and ESG score, accounting, and market-based measures. Portfolios were created to analyze the risk/return relationship between companies with and without ESG across countries. The findings indicate mixed results. Australia´s non-ESG portfolios outperform the S&P500 and ESG portfolios. Japan´s portfolio has positive returns but underperforms the benchmark. Low market capitalization portfolios with and without ESG outperform the higher capitalization portfolios.
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| first_indexed | 2025-02-05T23:06:28Z |
| format | Article |
| id | vinculategica-article-5 |
| institution | UANL |
| language | spa |
| last_indexed | 2025-02-05T23:06:28Z |
| physical | Vinculategica efan; Vol. 7 No. 1 (2021): VinculaTégica EFAN 7(1) Enero - Junio 2021; 53-78 Vinculatégica EFAN; Vol. 7 Núm. 1 (2021): VinculaTégica EFAN 7(1) Enero - Junio 2021; 53-78 2448-5101 |
| publishDate | 2021 |
| publisher | Universidad Autónoma de Nuevo León |
| record_format | ojs |
| spelling | vinculategica-article-52024-02-01T17:12:17Z ESG impact on financial corporate performance and portfolio returns: evidence of Australia and Japan Kazakakou Powaski, Margarita Chrissanthi Daza Ordoñez, Carolina Jáuregui Sánchez, Laura ESG Fixed-effects model regression Portfolio Sharpe ratio Jensen alpha Environmental, Social, and Governance investing has undergone a radical shift; companies and investors have focused on the impact of the disclosure of the practices and policies related to the environment, social responsibility, and governance in their operational strategies and investment. The purpose of this paper is to demonstrate the impact that the ESG policies have on public companies' stock returns in Australia and Japan. Accounting and market-based measures are used to determine the impact ESG practices have on stock market index returns. The annual data used is of companies from Australia's S&P/ASX Index and Japan's Nikkei 225 Index, covering the period from 2005 to 2019. Fixed effect model regression was used to test the significant relationship between companies' stock returns and ESG score, accounting, and market-based measures. Portfolios were created to analyze the risk/return relationship between companies with and without ESG across countries. The findings indicate mixed results. Australia´s non-ESG portfolios outperform the S&P500 and ESG portfolios. Japan´s portfolio has positive returns but underperforms the benchmark. Low market capitalization portfolios with and without ESG outperform the higher capitalization portfolios. Universidad Autónoma de Nuevo León 2021-12-18 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article Artículo evaluado por pares application/pdf https://vinculategica.uanl.mx/index.php/v/article/view/5 10.29105/vtga7.2-5 Vinculategica efan; Vol. 7 No. 1 (2021): VinculaTégica EFAN 7(1) Enero - Junio 2021; 53-78 Vinculatégica EFAN; Vol. 7 Núm. 1 (2021): VinculaTégica EFAN 7(1) Enero - Junio 2021; 53-78 2448-5101 spa https://vinculategica.uanl.mx/index.php/v/article/view/5/5 https://creativecommons.org/licenses/by/4.0 |
| spellingShingle | ESG Fixed-effects model regression Portfolio Sharpe ratio Jensen alpha Kazakakou Powaski, Margarita Chrissanthi Daza Ordoñez, Carolina Jáuregui Sánchez, Laura ESG impact on financial corporate performance and portfolio returns: evidence of Australia and Japan |
| thumbnail | https://rediab.uanl.mx/themes/sandal5/images/article.gif |
| title | ESG impact on financial corporate performance and portfolio returns: evidence of Australia and Japan |
| title_full | ESG impact on financial corporate performance and portfolio returns: evidence of Australia and Japan |
| title_fullStr | ESG impact on financial corporate performance and portfolio returns: evidence of Australia and Japan |
| title_full_unstemmed | ESG impact on financial corporate performance and portfolio returns: evidence of Australia and Japan |
| title_short | ESG impact on financial corporate performance and portfolio returns: evidence of Australia and Japan |
| title_sort | esg impact on financial corporate performance and portfolio returns evidence of australia and japan |
| topic | ESG Fixed-effects model regression Portfolio Sharpe ratio Jensen alpha |
| topic_facet | ESG Fixed-effects model regression Portfolio Sharpe ratio Jensen alpha |
| url | https://vinculategica.uanl.mx/index.php/v/article/view/5 |
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