ESG開示とポートフォリオ・リターン：インド株式市場からの証拠
ESG disclosure and portfolio returns: evidence from the Indian equity market (原題)
Lipsa Priyadarshani, Nirakar Barik
🤖 gxceed AI 要約
日本語
インド株式市場において、ESG要因がFama-French三因子モデルを超える追加的説明力を持つかを検証した研究。ESG要因を含む四因子モデルは、MC_ESGを除く全ポートフォリオでアルファがゼロと区別できず、従来モデルより高いR²を示した。特にガバナンス（Gov）要因を含むモデルの説明力が最も強く、小型株が大型株を一貫して上回るサイズ・バリュー・ESG効果が確認された。
English
This study tests whether an ESG factor adds explanatory power beyond the Fama-French three-factor model in the Indian equity market. A four-factor model including ESG yields alphas indistinguishable from zero across most characteristic-sorted portfolios and higher R² than the traditional model, with the governance (Gov) component showing the strongest explanatory power. Small-cap portfolios consistently outperform large-cap ones, confirming size, value, and ESG effects.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本ではSSBJ基準や有報でのサステナビリティ開示が進む中、ESG情報が実際に株式リターンに織り込まれるかを示す実証は、投資家のESG統合判断や開示の経済的意義を裏付ける材料となる。新興国市場の証拠として、日本企業のESG開示高度化の投資家対応上の便益を考える際の参照点を提供する。
In the global GX context
As global disclosure frameworks (ISSB, CSRD, SEC climate) push mandatory ESG reporting, evidence that ESG factors are priced in equity returns strengthens the case for disclosure infrastructure. This study adds emerging-market evidence to the ESG pricing literature, complementing developed-market findings and informing transition finance and responsible investment strategies.
👥 読者別の含意
🔬研究者:ESG要因を資産価格モデルに統合する際の、新興国市場における実証的ベンチマークを提供する。
🏢実務担当者:ESGスコアやガバナンス評価を投資判断やポートフォリオ構築に組み込む際の、リターン面での根拠として活用できる。
🏛政策担当者:ESG開示の義務化が市場価格形成に与える影響を検討する際、新興国におけるESG要因の価格付けの証拠として参考になる。
📄 Abstract（原文）
Introduction There has been increased emphasis on responsible investing worldwide. This study contributes to the existing literature by examining whether ESG serves as an additional factor beyond FFTF model in Indian equity market. Methods The study has used prominent risk models such as traditional Fama-French three factor (FFTF) model, Augmented FFTF model, by replacing value with ESG factor, Modified FFTF model, by replacing value with individual ESG dimensions- Env, Soc and Gov, and a four-factor model by including ESG factor alongside FFTF to obtain the explanation about the cross-section variation in the portfolio returns. Results The results demonstrate that the average excess returns across portfolios are largely positive indicating the presence of strong size, value, ESG, Env, Soc, and Gov effects in Indian equity market, with small-cap portfolios consistently outperforming large-cap portfolios. The findings of the study further indicate that four-factor model that includes ESG factor provides superior explanation across all characteristics-sorted portfolios except for MC_ESG as the alpha estimates are indistinguishable from zero and produces higher R2 value relative to the traditional three factor model. Further, these findings are corroborated by the GRS test results. Notably, the MFFTF model incorporating Gov factor offers the strongest explanatory power, suggesting its relevance as a determinant of stock returns in the Indian market compared to the other two individual components such as Env, and Soc. Discussion Overall, this study will help investors address sustainability-related risks and changing market preferences by integrating ESG factor into their investment decision.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.3389/frsus.2026.1980440first seen 2026-10-10 05:15:28
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