Does Esg Rating Affect Stock Performance of Indian Companies? An Empirical Study

Purpose: The study tries to investigate the influence of the ESG (environmental, social, and governance) ratings on the stock performance of Indian companies. It further compares the stock performance of those companies that are ESG leaders with Design/Methodology/Approach: The current paper is retrieving the ESG data from a third party to look at the impact of the ESG ratings on the performance of Indian stocks. This is the first study to use a calendar-time approach to assess the impact of 621 ESG rating changes on the stock returns of Indian companies from 2017 to 2022. Findings: The study finds that while an improvement in ESG rating has resulted in statistically significant but unpredictably positive abnormal returns of approximately 0.7% per month, a decline in rating is detrimental to stock performance, resulting in statistically significant monthly risk-adjusted returns of nearly -1.7% on average. Originality/Value: This is one of the primary studies that has investigated the outcome of specialized ESG ratings (improved and declining) on the stock return performance of companies in India.

The Ultimate Owner of Environmental, Social, and Governance Investment

The coronavirus (COVID-19) pandemic has affected society in immeasurable ways, including investment. As the pandemic has impacted society's values, it has proven to be a major turning point for environmental, social, and governance (ESG) investment. This investment approach, which evaluates a company's ESG ratings alongside traditional financial metrics, was already "coming off a banner year,” and its reach continues to expand. Although numerous studies have investigated the impact of ESG scores on financial returns and the trend in ESG investment strategies, only a limited number of studies have attempted to capture the key players in ESG investment. Therefore, to determine the most influential investors in the ESG investment field, the cumulative impacts are calculated based on the ESG scores of invested companies, the total market price of invested companies, and the investor history portfolio report. We perform an iteration of calculation to convey the impacts that the invested companies have on the ultimate investors, and we identify the major players in the field and differences in the trend by type of investor and country. Copyright © 2022 Keeley, Li, Takeda, Gloria and Managi.

Do Socially Responsible Indices Outperform the Market During Black Swan Events: Evidence from Indian Markets During Global Financial and COVID-19 Crises

This paper aims to examine and compare the effect of black swan events on the performance of companies with strong Environmental, Social, and (Corporate) Governance (ESG) backgrounds with that of other companies. Compared to established firms, companies with ESG backgrounds are perceived to be stable that will help them outperform established companies that are volatile during times of crisis. This research focuses on SENSEX for conventional market index and BSE GREEENEX and S & P BSE CARBONEX for ESG indices. We evaluated performances of the three indices during U.S. Debt Ceiling Crisis (2011-12), Black Monday China, BREXIT and Demonetization (2015-16), and COVID-19 (2020) crisis. We checked whether ESG indices outperformed conventional index significantly using Student's T-test. We have also compared the volatility of the three indices during the different black swan periods using the GARCH model.

PERFORMANCE OF CONVENTIONAL, ISLAMIC, AND SOCIAL RESPONSIBLE INVESTMENT (SRI) INDICES DURING COVID-19: A STUDY OF INDONESIAN STOCK MARKET

This paper investigates (i) the volatility of Indonesian Islamic, SRI, and Conventional equities, (ii) their serial correlation, and (iii) their dynamic correlation and relationship during the COVID-19 pandemic. Using MGARCH-DCC, our findings suggest that the Islamic index is most volatile but performs more efficiently than the others and exhibits no co-movement with Conventional and SRI during the Pandemic crisis. The study empirically shows the resilience and efficiency of the Islamic stocks in Indonesia during the Pandemic. These findings provide valuable and practical recommendations on portfolio diversification for investors and offers policy implications for regulators interesting in and dealing with impact or responsible investing. © 2022 Universidade Federal de Goias. All rights reserved.

Environmental, social and governance-efficient frontiers in an emerging market milieu

Orientation: Environmental, social and governance (ESG) factors have evolved from peripheral significance (2000s) to a leading factor (2022) for many corporates. Most are now assigned ESG grades;which are increasingly scrutinised by investors. Research purpose: An ideal milieu might involve rewards for responsible firms and penalties for culprits, but in a profit-driven world, this is not always true. Investors demand profitability so some trade-off is required. Motivation for the study: Recent work to measure and optimise portfolio performance while observing corporate conscientiousness is promising: return/risk profiles comparable to those attained by unconstrained portfolios appear possible. Research approach/design and method: Portfolio optimisation using Lagrangian calculus. As ESG scores worsen, portfolio performance should be adversely affected, and we then apply – for the first time – these portfolio optimising developments to emerging market corporates. Main findings: ESG grades have improved over time, with both a statistically significant risk reduction and an increase in returns (the reverse for deteriorating ESG grades). As volatility increases, optimal ESG grades increase slowly as associated Sharpe ratios decrease. This could be due to an option-like reliance of inherent value upon underlying volatility. Practical/managerial implications: With better knowledge of trends, asset managers who take ESG metrics into account can confidently assert that ESG compliant portfolios can generate healthy risk adjusted returns (Sharpe ratios) and that these values are improving over time. Contribution/value-add: ESG compliant portfolios have become viable investments while adhering to sensible, responsible investment principles. ESG scores are improving globally, albeit at different rates.