esg alpha in china n.
Download
Skip this Video
Download Presentation
'ESG Alpha' in China

Loading in 2 Seconds...

play fullscreen
1 / 13

'ESG Alpha' in China - PowerPoint PPT Presentation


  • 108 Views
  • Uploaded on

'ESG Alpha' in China. Michael L. Barnett a ; Xing Chen b ; Andreas G. F. Hoepner bc & Qian Li b a Said Business School, University of Oxford, Park End Street, Oxford, OX1 1HP, UK; b Centre for Responsible Banking & Finance, School of Management, University of St

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

PowerPoint Slideshow about ''ESG Alpha' in China' - hume


Download Now An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript
esg alpha in china

'ESG Alpha' in China

Michael L. Barnetta; Xing Chenb; Andreas G. F. Hoepnerbc & QianLib

a Said Business School, University of Oxford, Park End Street, Oxford, OX1 1HP, UK;

b Centre for Responsible Banking & Finance, School of Management, University of St

Andrews, The Gateway, North Haugh, St Andrews, KY16 9RJ, UK;

c Principles for Responsible Investment, PRI Secretariat, c/o UN Global Compact,

DC2-612, United Nations,New York, NY 10017, USA

summary

We study the effect of ESG issues on the stock performance of Chinese firms based on RepRisk ESG news data, which is available since 2007

  • China is a special case, as firms listed in China have mainly Chinese investors while many Chinese firms are (also) listed outside China to attract western money
  • Preliminary findings:
    • Western investors react to some western ESG issues of Chinese companies listed in China
      • Knowing this can lead to abnormal returns of more than 10% p.a.
    • Chinese investors react strongly to Chinese ESG issues of Chinese companies listed in China
      • Knowing this can lead to abnormal returns of more than 15% p.a.
    • Investors do not react to western of chinese ESG issues of Chinese companies listed outside China

www.themegallery.com

Summary
background
Background
  • Current Research Outline
    • The first research of ESG media coverage and financial performance in Chinese stock markets.
    • RepRisk data makes this possible.
      • 1806 Chinese companies on local and international listings over the period from 2006 to 2011.
      • 143 Chinese companies involved in 1219 issues matched with stock return data.
all share types of chinese firms
All Share types of Chinese firms
  • Chinese All Shares View
only non a shares
Only non-A shares
  • Chinese Other Shares View
research questions

Data Analysis

Research Questions

In comparison with other countries, howESG issues

are perceived in China?

Literature Review

Data Analysis

  • How do westernESG
  • criteria affect Chinese

A share companies?

  • How do ChineseESG
  • criteria affect Chinese

A share companies?

  • How do westernESG
  • criteria affect Chinese

non-A share companies?

  • How do ChineseESG
  • criteria affect Chinese

non-A share companies?

model
Model
  • Extended Carhart (1997) Four-Factor Model

rxp,t = portfolio’s excess return

αp = Jensen’s (1968) alpha

βnat,p, βreg,p, βglo,p= portfolio’s systematic exposure to the broad market portfolio on national, regional and global level, repectively.

rnat,t= market benchmark’s excess return on national level

γ, δ ,λ = the exposure of a portfolio to the small cap, value, and momentum investment styles.

SMB, HML, MOM= thereturnof a portfolioinvestinglong in smallstocks and shortselling large stocks, investinghigh booktomarketvaluestocks and shortsellinglowbooktomarketvaluestocks, and investinglong in winnerstocks and shortsellinglooserstocks, respectively

This 3-level Carhart four-factor model captures the designated portfolios’ exposures to regional and global equity markets (if any).

results chinese a share
Results: Chinese A share

Note: ***, ** and * indicate statistical significance at 1%, 5% and 10% levels, respectively.

results chinese non a share
Results: Chinese non-A share

Note: ***, ** and * indicate statistical significance at 1%, 5% and 10% levels, respectively.

slide13

The End.

Thank you for your attention!