Date of Publication

7-2024

Document Type

Master's Thesis

Degree Name

Master of Science in Financial Engineering

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Thesis Advisor

Tomas S. Tiu

Defense Panel Chair

Robert Rol Richard

Defense Panel Member

Ahmed Meandahawi

Julius Buendia

Abstract (English)

This study aims to explore the relationship between ESG ratings and the stock returns of Chinese A-share companies, utilizing data sourced from the Bloomberg ESG database. We present a summary of our findings, which are derived from analyses conducted at both the individual stock and portfolio levels. We also found that there exists a temporal aspect in the ESG-return relationship; the correlation turned positive and significantly from 2016, especially because of environment. Moreover, an observed variability in results was linked to the type of ownership; SOEs demonstrated a positive correlation between their ESG ratings and stock returns, predominantly attributed to their scores in social responsibility and corporate governance. On the other hand, non-SOEs depicted a conspicuously positive correlation with all ESG aspects after the year 2016. This relationship was also impacted by the COVID-19 pandemic and was rather negative, especially in the case of SOEs. From the portfolio analysis, we concluded that enhancing the ESG rating led to better cumulative investments’ returns and excess returns. From our analysis, we could provide strong evidence for the consideration of ESG factors in investment decisions as well as the opportunities that come with better ESG performance. All these insights can be valuable to investors, firms and even the policy makers to enhance the sustainability management with a view to improving the corporate financial performance. This research enhances the body of knowledge on ESG investing, emphasizing the importance of integrating ESG considerations into investment decision-making processes.

Keywords: ESG, stock returns, sustainability, Chinese A-share, portfolio performan

Abstract Format

html

Abstract (Filipino)

None

Abstract Format

html

Language

English

Format

Electronic

Keywords

Investment analysis

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Embargo Period

7-2024

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