ESG Alpha of Equity Portfolios: Evidence from Europe and the UK
株式ポートフォリオのESGアルファ：欧州と英国からの証拠 (AI 翻訳)
Chakshay Sharma, Priti Bakhshi, Suchismita Das
🤖 gxceed AI 要約
日本語
本論文は、Refinitiv ESGスコアを用いたベスト・イン・クラスのポジティブスクリーニングにより、ESGスコアの高いポートフォリオが長期的にリターンを向上させ、ボラティリティを低減する可能性を示す。2005年から2019年までの欧州7地域のデータと2020年のCOVID-19期間の分析から、均等加重戦略が最も効果的であり、英国市場が最も顕著なアルファを生むことが明らかになった。
English
This paper examines ESG alpha by constructing best-in-class positive ESG-screened portfolios using Refinitiv ESG Scores. Analyzing 15 years of daily returns from seven European regions and the UK, it finds that high ESG portfolios can enhance returns and reduce volatility. Equal weighting is the most coherent strategy, and the UK shows the strongest long-run outperformance, even during the COVID-19 period.
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
本稿は欧州・英国のデータを用いているが、日本の機関投資家がESG統合の有効性を検証する上で参考となる。特に、ベスト・イン・クラス方式と均等加重の重要性を示唆しており、SSBJ開示や日本の投資家向けESG戦略の構築に示唆を与える。
In the global GX context
This study contributes to the global debate on ESG and financial performance, providing robust empirical evidence from European markets. It supports the use of positive screening and equal weighting in ESG portfolio construction, relevant for asset managers and investors worldwide.
👥 読者別の含意
🔬研究者:Provides empirical evidence on ESG alpha using Fama-French models across European regions; valuable for replication and meta-analysis in other markets.
🏢実務担当者:Offers practical guidance on ESG portfolio construction: best-in-class positive screening with equal weighting may improve risk-return profiles.
📄 Abstract（原文）
This article adds to the growing body of knowledge on the impact of non-financial environmental, social and governance (ESG) factors on long-term financial returns and investigates whether high portfolio ESG improves the quality of equity portfolios in terms of realized returns and risk. A best-in-class positive ESG screening method was deployed using Refinitiv ESG Scores to construct two polarised sets of portfolios, each with three portfolio ESG weightings (i.e., equal, value, and rank weightings). Fifteen years of daily returns from 2005 to end-2019 were analyzed for the European continent split into seven regions based on the currency of exchange. Additionally, 2020, the abnormal COVID-19 year, was analyzed as an acid test of the ESG alpha hypothesis. Overall, the tests offer empirical evidence that high portfolio ESG has the potential to enhance returns and/or reduce volatility over the long term and thereby improve the quality of portfolios. This evidence signifies the impact of the degree of equity portfolio ESG on performance. The Eurozone was a major exception to the test findings, as were the value weightings. Equal weighting stood out as the most coherent strategy for best-in-class positive ESG screened portfolios, both in terms of volatility and returns. Fama–French modeling yielded interesting region-specific insights for best-in-class positive ESG screening. The UK stood out as the most favorable region for beating the market with best-in-class positive ESG screening in the long run and passed the acid test of ESG outperformance during the identified black swan event for all three portfolio weightings in the short term.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.3905/jesg.2026.1.144first seen 2026-07-18 08:02:38
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