近日，我院教师罗德庆博士为第一作者的论文“Sustainable investment under ESG volatility and ambiguity” 在经济学国际权威期刊Economic Modelling（SSCI, Q1, 中科院二区, ADBC A, ABS2, JIF=4.7, 我校A级学术成果）正式在线发表。文章链接：https://doi.org/10.1016/j.econmod.2023.106471
This paper investigates the impacts of ambiguity regarding environmental, social, and governance (ESG) from unclear ESG performance of assets on agents’ optimal portfolios, equilibrium excess returns, and welfare. We consider scenarios involving one or more risky assets with multiple heterogeneous agents in the market. Our results suggest that ESG ambiguity affects the perceptions of ESG-sensitive agents, decreasing demand for green assets, reducing their overall welfare, and increasing equilibrium excess returns. Moreover, risky assets in the green market exhibit lower equilibrium excess returns than in the green-neutral market. Additionally, the equilibrium return of brown assets is significantly higher than that of green assets, and the difference in the ambiguity between the two will further increase this gap. Our findings highlight the importance of establishing a standardized and transparent ESG scoring system to enhance the accuracy of ESG disclosure.
译文：本文研究了风险资产的环境、社会和公司治理（ESG）表现的不确定性对投资者最优投资组合、风险资产均衡超额回报和福利的影响。我们考虑了涉及多个异质性投资者且包含一个或多个风险资产的情形。研究结果表明，ESG不确定性会影响ESG敏感投资者的效用，减少他们对绿色资产的需求，降低他们的整体福利，并增加风险资产的均衡超额回报。此外，绿色市场中的风险资产显示出比绿色中性市场中的风险资产更低的均衡超额回报。另外，棕色资产的均衡回报显著高于绿色资产，并且两者之间的不确定性差异将进一步增加这一差距。我们的研究结果阐释了建立一个标准、透明的ESG评价体系以提高ESG披露准确性的重要意义。