\u203b\u53c2\u52a0\u5e0c\u671b\u306e\u65b9\u306f\u76f4\u63a5\u4f1a\u5834\u3078\u304a\u8d8a\u3057\u304f\u3060\u3055\u3044\u3002
\n\u304a\u554f\u3044\u5408\u308f\u305b\u306a\u3069\u306f\u3001\u4e8b\u52d9\u5c40 rieem.waseda@gmail.com\u307e\u3067\u3001\u3054\u9023\u7d61\u304f\u3060\u3055\u3044\u3002<\/p>\n
\u25a0\u65e5\u6642\uff1a4\u670812\u65e5\uff08\u91d1\uff0917\uff1a00\uff5e18\uff1a00
\n\u25a0\u4f1a\u5834\uff1a\u65e9\u7a32\u7530\u5927\u5b66\u30003\u53f7\u992810\u968e\u7b2c\u4e00\u4f1a\u8b70\u5ba4
\n\u25a0\u767a\u8868\u8005\uff1a Dr. John Fan Griffith University(\u30aa\u30fc\u30b9\u30c8\u30e9\u30ea\u30a2\uff09<\/p>\n
\u25a0\u30c6\u30fc\u30de\uff1aSustainable Factor Investing: Where Doing Well Meets Doing Good<\/p>\n
\u25a0\u8a00\u8a9e\uff1a\u82f1\u8a9e\u3000English<\/p>\n
\u25a0Abstract of the talk
\nThis paper investigates the impact of ESG integration on systematic factors in Australia.
\nWhilst negative screening leads to inferior factor performance, simultaneously exploiting
\nESG scores with quality, momentum and size characteristics outperforms standard factor
\nstrategies. The outperformance is more pronounced during adverse market conditions such as
\nperiods of recession, high inflation, credit risk and market volatility.
\nFurthermore, integrating E, S or G ratings individually into factors only leads to improved
\nrisk-adjusted performance in quality and momentum strategies. Finally, we find that forcing
\nportfolio diversification across sectors leads to inferior factor performance. Since ESG
\nintegration increases portfolio tilts to higher scoring industries, managers should clearly
\ncommunicate the opportunity costs arising from mandated sector diversification. Overall,
\nour findings suggest that sustainable factor investing not only allows asset-owners to
\ninclude their ethical preferences while offering strong potential for wealth generation,
\nbut also provides asset managers with the opportunity to mitigate risk, whilst improving
\nsocietal welfare.<\/p>\n
\u25a0Short bio
\nDr John Fan is a Senior Lecturer in Finance at Griffith University, Australia.
\nHis research interests include quantitative strategies, commodities, carbon emissions trading
\n and ESG integration. He has published articles in journals including the Journal of Banking &
\nFinance, Australian Journal of Management, and Applied Energy. He has been awarded research
\ngrants by the Accounting & Finance Association of Australia and New Zealand (AFAANZ),
\nGriffith Asia Institute and Institut Europlace De Finance Louis Bachelier.<\/p>\n
\u7814\u7a76\u90e8\u4f1a\uff1a\u30a8\u30cd\u30eb\u30ae\u30fc\u306e\u7d4c\u6e08\u5b66\u7814\u7a76\u90e8\u4f1a\uff08\u4e3b\u4efb\uff1a\u6709\u6751\u4fca\u79c0\uff09
\n\u5171\u50ac\uff1a\u95a2\u6771\u74b0\u5883\u7d4c\u6e08\u5b66\u30ef\u30fc\u30af\u30b7\u30e7\u30c3\u30d7<\/p>\n","protected":false},"excerpt":{"rendered":"
\u203b\u53c2\u52a0\u5e0c\u671b\u306e\u65b9\u306f\u76f4\u63a5\u4f1a\u5834\u3078\u304a\u8d8a\u3057\u304f\u3060\u3055\u3044\u3002 \u304a\u554f\u3044\u5408\u308f\u305b\u306a\u3069\u306f\u3001\u4e8b\u52d9\u5c40 rieem.waseda@gmail.com\u307e\u3067\u3001\u3054\u9023\u7d61\u304f\u3060\u3055\u3044\u3002 \u25a0\u65e5\u6642\uff1a4\u670812\u65e5\uff08\u91d1\uff0917\uff1a00\uff5e18\uff1a00 \u25a0\u4f1a\u5834\uff1a\u65e9\u7a32\u7530\u5927\u5b66\u30003\u53f7\u992810\u968e […]<\/p>\n","protected":false},"author":2,"featured_media":5993,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[103,104,105,1],"tags":[18],"class_list":["post-6056","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-news-en","category-other-en","category-other","category-news","tag-events"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/posts\/6056","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/comments?post=6056"}],"version-history":[{"count":0,"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/posts\/6056\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/media\/5993"}],"wp:attachment":[{"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/media?parent=6056"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/categories?post=6056"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.waseda.jp\/fpse\/winpec\/wp-json\/wp\/v2\/tags?post=6056"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}