Assistant Professor
「環境，社會和治理」（ESG）近年成爲大量投資者，特別是機構投資者的策略焦點。雖然學術界已有不少關於ESG的文獻和討論，但當中較少分析ESG和投資表現之間的關聯。有見及此，香港理工大學會計及金融學院曹杰教授（Prof. Jie (Jay) Cao）及團隊參考了大量數據庫資料為ESG表現評分，然後分類比較不同機構投資者的投資習慣和表現。
根據團隊分析，較關注社會責任的機構投資者對影響回報的消息反應較慢，即使獲得不利消息也較少減持或出售相關股票。這類投資者雖然投資額相對較低，但傾向持有資本總額較高的大盤股，而且它們的投資組合較少受盈利不符預測或其他錯誤定價信息波動影響。研究亦發現，由於對信息的專注度並非無限，偏好ESG會令部分機構投資者忽略預測回報，反映機構投資者的取向對其股票回報亦有間接影響。
值得一提的是，研究的年期均為ESG興起的年份，有一定特殊性，而且回報可能受對沖基金等超出研究範圍的因素影響。雖然研究結果未適合延伸至個人和量化投資策略，但是曹教授的研究至少提供了方向，進一步分析投資者偏好ESG如何影響市場效率，從而影響公司決策和投資選項。
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投資能否兼顧回報和社會責任？
「環境，社會和治理」（ESG）近年成爲大量投資者，特別是機構投資者的策略焦點。雖然學術界已有不少關於ESG的文獻和討論，但當中較少分析ESG和投資表現之間的關聯。有見及此，香港理工大學會計及金融學院曹杰教授（Prof. Jie (Jay) Cao）及團隊參考了大量數據庫資料為ESG表現評分，然後分類比較不同機構投資者的投資習慣和表現。
根據團隊分析，較關注社會責任的機構投資者對影響回報的消息反應較慢，即使獲得不利消息也較少減持或出售相關股票。這類投資者雖然投資額相對較低，但傾向持有資本總額較高的大盤股，而且它們的投資組合較少受盈利不符預測或其他錯誤定價信息波動影響。研究亦發現，由於對信息的專注度並非無限，偏好ESG會令部分機構投資者忽略預測回報，反映機構投資者的取向對其股票回報亦有間接影響。
值得一提的是，研究的年期均為ESG興起的年份，有一定特殊性，而且回報可能受對沖基金等超出研究範圍的因素影響。雖然研究結果未適合延伸至個人和量化投資策略，但是曹教授的研究至少提供了方向，進一步分析投資者偏好ESG如何影響市場效率，從而影響公司決策和投資選項。
關鍵詞：ESG偏好，企業交易，錯誤定價，股票收益
論文連結：https://www.linkedin.com/feed/update/urn:li:activity:7031075300889268224/
作者連結：https://www.polyu.edu.hk/af/people/academic-staff/prof-jie-cao/
Can Investors Balance Returns and Social Responsibility?
In recent years, ESG (Environmental, Social, and Governance) has become the strategic focus of many investors, especially institutional investors. Although academics have access to much ESG-related literature, relatively few analyse the relationship between ESG and stock returns. Therefore, Prof. Jie (Jay) Cao from the School of Accounting and Finance (AF) at the Hong Kong Polytechnic University (PolyU) studied a large number of records in existing databases. His team then classified institutions based on ESG scores and the scores were used to compare and contrast performances.
Prof. Cao and his team discovered that socially responsible investors, who tend to focus on ESG performance instead of investment returns, react slower to mispricing signals. They tend to favour large-cap stocks and have a lower turnover. Their choice of stocks also demonstrates lower sensitivity to earnings surprises. The research also suggests that their increased focus on ESG may have an indirect but important influence on stock return patterns and the efficacy of mispricing signals, as this preference for ESG draws their attention away from mispricing signals.
However, it should be noted that some factors may affect the wider significance of this research. The authors advised readers that, “While the evidence provided in this paper is consistent with mispricing, we would recommend caution to those who would want to implement these insights in quantitative strategies going forward. The period that we study is special for a couple of reasons. The first is that ESG investing took off in this time period, so the implications of these investing strategies may not have been fully understood. The second, our results are significant only when the ability of hedge funds to offset the effect of socially responsible investors is significantly curtailed.” Nonetheless, Prof. Cao’s research offers a new direction at looking into how ESG preference affects market efficiency, thereby impacting corporate financing and investment behaviours.
Keywords: ESG preference, institutional trading, stock mispricing, stock return patterns
Original Paper on CESEF LinkedIn:
https://www.linkedin.com/feed/update/urn:li:activity:7031075300889268224/
Author Biography on AF Website:
https://www.polyu.edu.hk/af/people/academic-staff/prof-jie-cao/
