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銀行セクターにおけるグリーンバリュー投資：中東欧ケースとしてのポーランドにおけるグリーンFスコア戦略の有効性

Green Value Investing in the Banking Sector: The Effectiveness of a Green F-Score Strategy in Poland as a CEE Case Study (原題)

Muszyński M, Podgórski K

Research Squareプレプリント2026-11-02#気候金融経営インパクト: 資金調達対象セクター: finance
DOI: 10.20944/preprints202611.0102.v1
原典: https://doi.org/10.20944/preprints202611.0102.v1

🤖 gxceed AI 要約

日本語

EUタクソノミーのグリーン資産比率と財務効率指標を統合した「グリーンFスコア」を構築し、ワルシャワ証券取引所上場の主要10銀行を2023〜2025年に検証。グリーンリーダー層は年平均60.43%の超過リターンとP/Bプレミアムを享受する一方、再エネ融資が遅れる銀行は炭素リスクディスカウントを受けた。市場プレミアムはESGサブスコアが主導し、グリーン融資拡大が株式資本コストを低下させることを示す。

English

The paper builds a 'Green F-Score' combining financial efficiency metrics with EU Taxonomy Green Asset Ratio disclosures, tested on 10 Warsaw-listed banks (2023-2025). 'Green Leaders' portfolios earned a mean annual return of 60.43% and a P/B premium, while banks lagging in renewable financing suffered carbon-risk discounts. The ESG sub-score drives the premium, suggesting green lending lowers banks' cost of equity.

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

EUタクソノミー開示を株式評価に直接接続する手法は、SSBJ基準・有報開示が進む日本の銀行セクターにとって、開示情報の資本コスト効果を測る分析枠組みとして参考になる。日本のメガバンクのトランジションファイナンス評価にも示唆。

In the global GX context

Offers a template for linking EU Taxonomy disclosure quality to equity valuation and cost of capital—directly relevant to ISSB/CSRD-era debates on whether sustainability disclosure is priced. Extends transition-finance literature into banking-sector equity strategy in an under-studied CEE market.

👥 読者別の含意

🔬研究者:Provides a replicable methodology for integrating taxonomy disclosures into fundamental equity scoring and tests whether ESG sub-scores dominate traditional financial metrics.

🏢実務担当者:Suggests bank IR and sustainability teams that credible green lending disclosure may translate into valuation premiums and lower cost of equity.

🏛政策担当者:Indicates that mandatory taxonomy-aligned disclosure can be priced by markets, supporting the case for disclosure regulation in banking.

📄 Abstract（原文）

The banking sector serves as a critical transmission belt for capital allocation toward renewable energy (RE) projects, yet traditional equity valuation models fail to capture banks' exposure to energy transition risks. To bridge this gap, this paper develops a novel fundamental-environmental indicator—the "Green F-Score"—tested on 10 major commercial banks listed on the Warsaw Stock Exchange (WSE) between 2023 and 2025. By synthesizing classical financial efficiency criteria with EU Taxonomy disclosures (Green Asset Ratio), the portfolio sorting methodology reveals how capital markets price sustainable energy financing in Central and Eastern Europe. The empirical results demonstrate that portfolios with high environmental-fundamental readiness ("Green Leaders") generate a superior mean annual return of 60.43% and a substantial price-to-book (P/B) premium. Conversely, banks lagging in RE financing suffer significant carbon risk discounts. Correlation analysis confirms a paradigm shift: the market premium is primarily driven by the ESG sub-score, rendering traditional financial metrics a mere operational hygiene factor. Consequently, the Green F-Score emerges as a robust tool for institutional investors, proving that accelerated lending to the energy transition effectively lowers the cost of equity capital for commercial banks.

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