Does sustainability strengthen asset pricing models? Moderating effects in the Fama-French framework on ESG leaders
サステナビリティは資産価格モデルを強化するのか？ESGリーダーにおけるFama-Frenchフレームワークの調整効果 (AI 翻訳)
Yasir Maulana, Nugraha Nugraha, D. Disman, M. Sari
🤖 gxceed AI 要約
日本語
2021-2023年のESGリーダーズ指数上場企業を対象に、ESGリスク評価がFama-Frenchモデルと超過リターンの関係に与える調整効果を分析。SMBは有意な正の影響を示し、HMLはESGリスクにより弱められる。ESG要因の資産価格への部分的な統合を示唆。
English
This study examines whether ESG risk ratings moderate the relationship between Fama-French factors and excess returns for firms in the ESG Leaders Index from 2021-2023. Results show that the size factor (SMB) positively affects returns, while the value factor (HML) is weakened by ESG considerations, indicating partial integration of ESG into asset pricing.
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がESG情報開示を推進する中、本論文はESG評価が資産価格に与える影響を実証し、投資家のリスク認識やポートフォリオ戦略に示唆を与える。特に、伝統的なバリュー戦略がESG考慮により修正される可能性を示し、日本企業のサステナビリティ経営の資本市場への影響を考察する上で有用。
In the global GX context
As global frameworks like TCFD and ISSB push for ESG integration in financial markets, this paper provides empirical evidence on how ESG ratings modify traditional asset pricing models in an emerging market context. It highlights that sustainability considerations can weaken the value premium, offering insights for portfolio managers and regulators aligning with sustainable finance.
👥 読者別の含意
🔬研究者:This paper contributes to the growing literature on ESG and asset pricing by demonstrating the moderating role of ESG ratings on Fama-French factors.
🏢実務担当者:Asset managers and ESG investors can use these insights to adjust factor strategies considering ESG risk ratings, particularly the value premium weakening.
🏛政策担当者:Regulators can note that ESG ratings impact market efficiency and factor returns, informing sustainable finance policy design.
📄 Abstract（原文）
This research investigates the moderating role of environmental, social, and governance (ESG) risk ratings in the relationship between traditional Fama-French framework and excess stock returns among companies listed in the ESG Leaders Index for the 2021–2023 period. Using moderated regression analysis (MRA), the findings reveal that small minus big (SMB) exerts a significant positive impact on excess returns, confirming the relevance of firm size as a pricing factor even within the sustainability-focused investment universe. Meanwhile, market risk and high minus low (HML) do not show demonstrate statistical relevance direct effects, although HML is marginally significant. Furthermore, ESG risk rating demonstrates a moderating effect only in the relationship between HML and excess returns, suggesting that sustainability considerations may weaken the traditional value premium. These results highlight the partial integration of ESG risk into asset pricing dynamics and underline the essentiality of incorporating ESG factors in developing more robust, sustainable investment strategies. The study provides practical insights for market participants, fund managers, and authorities navigating the transition toward sustainable finance in emerging markets.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.20885/ambr.vol6.iss1.art10first seen 2026-07-01 06:01:53
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