Waseda Institute of Political Economy早稲田大学 現代政治経済研究所

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4月12日エネルギーの経済学研究部会(主任:有村俊秀)のお知らせ

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■日時:4月12日(金)17:00~18:00
■会場:早稲田大学 3号館10階第一会議室
■発表者: Dr. John Fan Griffith University(オーストラリア)

■テーマ:Sustainable Factor Investing: Where Doing Well Meets Doing Good

■言語:英語 English

■Abstract of the talk
This paper investigates the impact of ESG integration on systematic factors in Australia.
Whilst negative screening leads to inferior factor performance, simultaneously exploiting
ESG scores with quality, momentum and size characteristics outperforms standard factor
strategies. The outperformance is more pronounced during adverse market conditions such as
periods of recession, high inflation, credit risk and market volatility.
Furthermore, integrating E, S or G ratings individually into factors only leads to improved
risk-adjusted performance in quality and momentum strategies. Finally, we find that forcing
portfolio diversification across sectors leads to inferior factor performance. Since ESG
integration increases portfolio tilts to higher scoring industries, managers should clearly
communicate the opportunity costs arising from mandated sector diversification. Overall,
our findings suggest that sustainable factor investing not only allows asset-owners to
include their ethical preferences while offering strong potential for wealth generation,
but also provides asset managers with the opportunity to mitigate risk, whilst improving
societal welfare.

■Short bio
Dr John Fan is a Senior Lecturer in Finance at Griffith University, Australia.
His research interests include quantitative strategies, commodities, carbon emissions trading
and ESG integration. He has published articles in journals including the Journal of Banking &
Finance, Australian Journal of Management, and Applied Energy. He has been awarded research
grants by the Accounting & Finance Association of Australia and New Zealand (AFAANZ),
Griffith Asia Institute and Institut Europlace De Finance Louis Bachelier.

研究部会:エネルギーの経済学研究部会(主任:有村俊秀)
共催:関東環境経済学ワークショップ

Dates
  • 0412

    FRI
    2019

Place

早稲田大学 早稲田キャンパス3号館10階第一会議室

Tags
Posted

Thu, 04 Apr 2019

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