BRICS市場におけるESG開示と資産価格付け効率のネクサス
Nexus between ESG disclosures and asset pricing efficiency in BRICS markets (原題)
Dusmanta Karkaria, Karthika V R, Shiba Prasad Mohanty
🤖 gxceed AI 要約
日本語
BRICS各国市場でESG要因が資産価格モデルにおいて価格付けされたリスク要因となるかを検証した研究。Fama-French三・五要因モデルにESGを統合し、GRS統計量やスパニング検定、シャープレシオ比較で評価した結果、ESG要因は既存モデルに有意な増分説明力を持つことが示された。ESGの価格付けは市場依存で、ブラジルと中国で最も顕著な負荷が観察され、インドと中国では投資要因を代替する。
English
This study tests whether an ESG factor is priced in BRICS equity markets by integrating it into Fama-French three- and five-factor models using characteristic-based portfolios, GRS statistics, spanning tests, and Sharpe ratio comparisons (2015-2024). ESG adds significant incremental explanatory power, is not fully spanned by existing factors, and carries a priced risk premium, though pricing is market-dependent—strongest in Brazil and China, and substituting for the investment factor in India and China.
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・有報でのサステナビリティ開示が進み、ESG情報が資本コストや株価にどう織り込まれるかは投資家対応の核心。新興国BRICSでの実証は、開示の質と市場効率の関係を考える上で比較材料を提供する。
In the global GX context
Amid ISSB/CSRD-driven global disclosure harmonization, this paper offers emerging-market evidence that ESG pricing is not universal but market-dependent, informing how transition finance and sustainable investing frameworks may need region-specific calibration beyond developed-market assumptions.
👥 読者別の含意
🔬研究者:ESG要因を資産価格モデルに組み込む実証手法とBRICSでの異質性は、新興国ESG価格付け研究の参照点となる。
🏢実務担当者:ESG格付け・開示が新興国市場での資本コストや評価に与える影響を理解し、投資家対応やIR戦略に活用できる。
🏛政策担当者:ESG開示制度の整備が市場効率や資本配分に与える効果を、新興国特有の市場依存性を踏まえて検討する材料となる。
📄 Abstract（原文）
This study investigates whether the Environment, Social, and Governance (ESG) factor serves as a priced risk factor in explaining the portfolio returns of asset pricing models across the BRICS markets. Utilizing a characteristic-based portfolio construction approach, the study integrates ESG into standard asset pricing models such as Fama–French Three and Five Factor models, along with augmented and substitution factors, evaluating model performance using Gibbons, Ross and Shanken (GRS) F-statistic, spanning tests, and Sharpe ratio comparison over the period from April 2015 to December 2024. The empirical findings reveal that the ESG factor provides significant incremental explanatory power across BRICS markets. The spanning test confirms that ESG returns are not fully spanned by the existing FF factors, and factor-loading and Sharpe-ratio evidence are consistent with ESG carrying a priced risk premium. The cross-country analysis reveals heterogeneous patterns in ESG pricing: low-ESG portfolios show significantly negative ESG loadings, while high-ESG portfolios show significantly positive loadings within each market, with the most pronounced loadings observed in Brazil and China. Further, the results indicate that the ESG factor augments the existing five-factor model across all markets and effectively substitutes for the investment factor in India and China. The study provides evidence that the pricing relevance of ESG in BRICS asset markets is market-dependent rather than universal, offering insight into where and how ESG integration meaningfully improves sustainable investing frameworks across these heterogeneous economies.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.1007/s43621-026-04712-6first seen 2026-09-22 04:40:00
🔔 こうした論文の新着を逃したくない方は キーワードアラート に登録（無料・3キーワードまで）。
gxceed は公開メタデータに基づく研究支援データセットです。要約・翻訳・解説は AI 支援で生成されています。 最終的な解釈・検証は利用者が原典資料に基づいて行うことを前提とします。