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ABD'deki ESG Sermaye Fonlarının Uyumu

Year 2023, , 31 - 48, 31.03.2023
https://doi.org/10.54821/uiecd.1258344

Abstract

Bu çalışma ABD hisse senedi endeksi fonlarının Çevresel, Sosyal ve Yönetişim (ESG) perspektifinden en iyi uygulamalara uyum düzeyini değerlendirmektedir. Örneklem 27 ESG endeks fonunu içermekte ve çalışma dönemi 1 Ağustos 2017 ile 31 Temmuz 2022 arasındadır. Basit bir araştırma yaklaşımı uygulanmaktadır. İlk olarak, endeks fonlarının S&P 500 Endeksi ve ayrıca üç alternatif geniş piyasa ESG endeksi ile korelasyonları hesaplanmıştır. Karşılık gelen betalar da tahmin edilmektedir. Ardından, S&P 500 hisselerinin her bir fonun elinde bulundurduğu ciddi veya yüksek Morningstar ESG risk skorları olan kısmı hesaplanmıştır. Bulgular, ESG endeks fonlarının S&P 500 Endeksi ile 0,90'lık ortalama bir korelasyonunu ortaya koymaktadır. Diğer endekslerle benzer korelasyon değerleri hesaplanmıştır. Tüm endekslere sahip betalar çok yüksektir ve topluluğan yaklaşmaktadır. Ayrıca, fonların yaklaşık %26'sı varlıklarının %5'inden fazlasını yüksek veya ciddi ESG riski olan S&P 500 hisselerine yatırmaktadır. Sonuç olarak ESG endeks fonlarının kendilerini ESG uyumlu olarak pazarlarken büyük ölçüde sadece S&P 500 endeksini izlediğini göstermektedir. İkincisi, endeks fonları adına bir düzeyde “greenwashing” göstergesi olabilir.

Project Number

None

References

  • Amenc, N., Goltz, F., & Liu, V. (2022). Doing good or feeling good? Detecting greenwashing in climate investing. The Journal of Impact and ESG Investing. available on https://www.edhec.edu/sites/www.edhec-portail.pprod.net/files/210921-1_doing_good_or_feeling_good.pdf, accessed on 8/5/2022.
  • Clements, R. (2021). Why comparability is a greater problem than greenwashing in ESG ETFs. William & Mary Business Law Review, 13, 441.
  • Curtis, Q., Fisch, J., & Robertson, A. Z. (2021). Do ESG mutual funds deliver on their promises?. Michigan Law Review, 120, 393.
  • Dimitrieska, S., Stankovska, A., & Efremova, T. (2017). The Six sins of greenwashing. Economics and Management, 13(2), 82-89.
  • InfluenceMap, (2019). Climate Funds and Fossil Fuels. available on https://influencemap.org, accessed on 8/6/2022.
  • InfluenceMap, (2021). Climate Funds: Are They Paris Aligned?”. available on https://influencemap.org, accessed on 8/6/2022.
  • Yi Li, M., Zheng, O., Hsu, H.C., and Zhu, Y. (2022). Identify “Greenwashing” funds using NLP in firms’ prospectuses. University of California, San Diego, available on https://static1.squarespace.com/static/59a706d4f5e2319b70240ef9/t/61d61aa3e8c5f17dc68eb7b7/1641421477662/As+You+Sow-UCSD_ESG+Fund+Naming_Final+Report_20211208.pdf, accessed on 9/16/2022.
  • Mahtani, S., Reid, J., and Templeman, l. (2018). Big data shakes up ESG investing. Deutsche Bank Research, available on https://www.dbresearch.com/PROD/RPS_EN-PROD/PROD0000000000478852/Big_data_shakes_up_ESG_investing.pdf?undefined&realload=hn066XgwglwRDfqhqg7iT8HUXPOt1vhs5JqZUFbBEUn8bUKPZwS~nl6RkACOK2kS, accessed on 9/16/2022.
  • TerraChoice, T. (2007). The Six Sins of Greenwashing. A study of environmental claims in North American Consumer Markets. available on https://www.academia.edu, accessed 8/6/2022.
  • Universal Owner, (2021). “Vanguard and universal ownership. available on https://aae3a3a4-223a-4abf-a8f5-690b8f339311.filesusr.com/ugd/4e1fd6_6239fbdb9a384892889efaf1e610e6e4.pdf, accessed on 9/16/2022.

The Compliance of ESG Equity Funds in the U.S.

Year 2023, , 31 - 48, 31.03.2023
https://doi.org/10.54821/uiecd.1258344

Abstract

This paper assesses the level of adherence of the U.S. equity index funds to best practices from an Environmental, Social and Governance (ESG) perspective. The sample includes 27 ESG index funds and the study period spans from 1 August 2017 to 31 July 2022. A simple research approach is employed. First, the correlations of index funds with the S&P 500 Index, as well as, with three alternative broad market ESG indexes, are computed. Corresponding betas are estimated too. Then, the portion of the S&P 500 stocks with severe or high Morningstar ESG risk scores held by each fund is calculated. The findings reveal an average correlation of ESG index funds with the S&P 500 Index of 0.90. Similar correlation figures with the other indexes are computed. Betas with all indexes are very high, approximating unity. Moreover, about 26% of the funds invest more than 5% of their assets in S&P 500 stocks with high or severe ESG risk. The findings combined indicate that, to a large extent, ESG index funds just track the S&P 500 Index, while marketing themselves as being ESG compliant. The latter can be indicative of some level of “greenwashing” on behalf of index funds.

Supporting Institution

None

Project Number

None

References

  • Amenc, N., Goltz, F., & Liu, V. (2022). Doing good or feeling good? Detecting greenwashing in climate investing. The Journal of Impact and ESG Investing. available on https://www.edhec.edu/sites/www.edhec-portail.pprod.net/files/210921-1_doing_good_or_feeling_good.pdf, accessed on 8/5/2022.
  • Clements, R. (2021). Why comparability is a greater problem than greenwashing in ESG ETFs. William & Mary Business Law Review, 13, 441.
  • Curtis, Q., Fisch, J., & Robertson, A. Z. (2021). Do ESG mutual funds deliver on their promises?. Michigan Law Review, 120, 393.
  • Dimitrieska, S., Stankovska, A., & Efremova, T. (2017). The Six sins of greenwashing. Economics and Management, 13(2), 82-89.
  • InfluenceMap, (2019). Climate Funds and Fossil Fuels. available on https://influencemap.org, accessed on 8/6/2022.
  • InfluenceMap, (2021). Climate Funds: Are They Paris Aligned?”. available on https://influencemap.org, accessed on 8/6/2022.
  • Yi Li, M., Zheng, O., Hsu, H.C., and Zhu, Y. (2022). Identify “Greenwashing” funds using NLP in firms’ prospectuses. University of California, San Diego, available on https://static1.squarespace.com/static/59a706d4f5e2319b70240ef9/t/61d61aa3e8c5f17dc68eb7b7/1641421477662/As+You+Sow-UCSD_ESG+Fund+Naming_Final+Report_20211208.pdf, accessed on 9/16/2022.
  • Mahtani, S., Reid, J., and Templeman, l. (2018). Big data shakes up ESG investing. Deutsche Bank Research, available on https://www.dbresearch.com/PROD/RPS_EN-PROD/PROD0000000000478852/Big_data_shakes_up_ESG_investing.pdf?undefined&realload=hn066XgwglwRDfqhqg7iT8HUXPOt1vhs5JqZUFbBEUn8bUKPZwS~nl6RkACOK2kS, accessed on 9/16/2022.
  • TerraChoice, T. (2007). The Six Sins of Greenwashing. A study of environmental claims in North American Consumer Markets. available on https://www.academia.edu, accessed 8/6/2022.
  • Universal Owner, (2021). “Vanguard and universal ownership. available on https://aae3a3a4-223a-4abf-a8f5-690b8f339311.filesusr.com/ugd/4e1fd6_6239fbdb9a384892889efaf1e610e6e4.pdf, accessed on 9/16/2022.
There are 10 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Research Articles
Authors

Gerasımos Rompotıs

Project Number None
Publication Date March 31, 2023
Published in Issue Year 2023

Cite

APA Rompotıs, G. (2023). The Compliance of ESG Equity Funds in the U.S. International Journal of Business and Economic Studies, 5(1), 31-48. https://doi.org/10.54821/uiecd.1258344

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