ESG Investmenting: A Chance to Reduce Systemic Risk
ESG Investmenting: A Chance to Reduce Systemic Risk
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ESG 投资：降低系统性风险的机会
DOI：
10.2139/ssrn.3631205
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发表时间：
2020
期刊：
影响因子：
--
通讯作者：
M. Nicolosi
中科院分区：
文献类型：
--
作者：
R. Cerqueti;R. Ciciretti;Ambrogio Dalò;M. Nicolosi
我们考虑了一个股权共同基金网络，其特点是在环境、社会和治理（ESG）方面的合规程度不同。我们衡量了压力情景下投资组合清算对具有不同ESG比率的基金的影响。由于共同资产持有的间接传染作用，投资组合清算的甩卖溢出效应从一个基金传播到另一个基金。我们发现，基金传染的脆弱性随着ESG合规水平的降低而降低。传染效应对排名较高的基金的有效性低于排名较低的基金。特别是，对于不同级别的投资组合清算，ESG排名最高的基金的相对市值损失低于ESG排名最低的对应基金所经历的损失。
We consider a network of equity mutual funds characterized by different levels of compliance with Environmental, Social, and Governance (ESG) aspects. We measure the impact of portfolio liquidation in a stress scenario on funds with different ESG rates. Fire sales spillover from portfolio liquidation propagates from one fund to another because of indirect contagion mediated by common asset holdings. We find that the vulnerability of funds to contagion decreases with the level of ESG compliance. Contagion is less effective for higher ranked funds than for lower ranked ones. In particular, for different levels of portfolio liquidation, the relative market value loss of the highest ESG ranked funds is lower than the loss experienced by the lowest ESG ranked counterpart.