Влияние ESG-рейтингов на денежные потоки ETF
Аннотация
Целью работы является изучение влияния рейтинга экологического, социального и корпоративного управления (ESG) при принятии инвестиционных решений на рынках облигационных ETF и ETF на акции США в период до пандемии. Изменение привлекательности ETF-инвестиций в зависимости от показателя ESG определялось на основании чистых денежных потоков.
В качестве метода оценки применялись регрессионные модели. В частности, использовались линейная модель со смешанными эффектами и метод наименьших квадратов. Было выявлено, что в среднем ETF, отвечающие критериям ESG, привлекли больший объем чистых активов по сравнению с обычными ETF. Данные результаты свидетельствуют о том, что среди инвесторов наблюдается предрасположенность к ESG-инвестициям и уделяется внимание информации о соответствии ETF фондов критериям ESG. С другой стороны, мы обнаружили подтверждение того, что высокое значение ESG-рейтинга обеспечивает существенный приток инвестиций: при этом, различие в ESG-рейтингах не объясняет разницу в объемах чистого денежного потока. Таким образом исследование показывает, что на рынке ETF инвесторы руководствуются не только профилем риск-доходность, но также принимают решения на основании нефинансовых характеристик активов. Полученные результаты имеют практическую значимость. Во-первых, для компаний внедрение ESG-практик может повысить привлекательность их бизнеса для потенциальных инвесторов. Во-вторых, участники рынка выиграют от растущей прозрачности и единообразия методологий присвоения рейтинга.
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