Unveiling the timeless potential: A comprehensive analysis of ESG integration in Chinese listed firms

Ting Wang and Huaxi Zhang

International Review of Economics & Finance, 2024, vol. 93, issue PA, 1211-1225

Abstract: This paper provides a practical guide for integrating Environmental, Social, and Governance (ESG) information into portfolio construction in Chinese listed firms. We analyze panel data from 2015 to 2019, revealing that higher ESG scores correlate with increased stock market returns. We construct an ESG portfolio, identifying strategies that affirm ESG's value. Notably, our enhancement portfolios for both CSI 300 and CSI 500 consistently outperform their benchmarks. Through Brinson attribution analyses, we attribute the excess return primarily to individual stock selection. Our findings underscore the incremental value of incorporating ESG information in stock price explanations.

Keywords: ESG; Investment portfolio; Brinson model attribution; Factor model attribution; Multi-objective optimization (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:93:y:2024:i:pa:p:1211-1225

DOI: 10.1016/j.iref.2024.03.057

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