Kroll+全球ESG投资者回报研究-英-120页_3mb

ESG and Global Investor Returns Study Summary

Objective: The study examined the relationship between historical stock returns and MSCI ESG ratings for over 13,000 companies across four geographic regions (World, North America, Western Europe, Asia) and 12 countries/markets, from 2013 to 2021. The goal was to determine if companies with better ESG ratings outperform those with worse ratings.

Key Findings:

• Global Performance: Companies with ESG Leader ratings achieved a higher compound annual return (12.9%) compared to Laggards (8.6%), representing a ~50% premium.
• Regional Consistency: The outperformance of Leaders was observed in most regions, including the US (20.3% vs. 13.9% for Laggards) and Western Europe. Exceptions occurred in Brazil and Germany.
• Industry Variations: Leaders outperformed Laggards in most industries, but not in Consumer Staples and Health Care globally (exceptions noted in specific regions).
• Methodology: Used MSCI ESG ratings to categorize companies into Leader, Average, and Laggard portfolios. Returns were calculated in USD, using market-cap-weighted indexes. The analysis considered 108 months of data, with many companies included.

Implications for Investors and Stakeholders:

• ESG integration may contribute to better investment outcomes, but regulatory scrutiny and ESG rating diversity are challenges.
• The correlation between ESG ratings and returns may influence capital allocation, investor decisions, and corporate strategies, especially in a politicized context.

Conclusion and Future Research:

• The study suggests a link between better ESG ratings and superior returns, but more analysis is needed to account for factors like company size and the predictive power of ESG ratings.
• Future work will explore how ESG ratings can adjust forward-looking cost of capital estimates, addressing evolving regulatory requirements and sustainability trends.