دانلود مقاله نقش متنوع سرمایه گذاری‌های مسئولیت پذیر اجتماعی در طول کرونا
چکیده
مقدمه
مروری بر مطالعات پیشین
روش شناسی
داده ها
تحلیل تجربی
نتیجه گیری و اظهارات
منابع
Abstract
Introduction
Literature review
Methodology
Data
Empirical analysis
Conclusions and remarks
References
چکیده
این مقاله به بررسی نقش تنوع سرمایه‌گذاری‌های مسئولیت‌پذیر اجتماعی (SRI) در طول همه‌گیری COVID-19 می‌پردازد. برای ارزیابی سهم در تنوع ریسک و بهبود عملکرد مالی SRI، ما تأثیر گنجاندن سهام انرژی پاک را در پرتفوی سهام متعارف و سایر دارایی‌هایی که معمولاً به عنوان پناهگاه‌های امن در نظر گرفته می‌شوند، تحلیل می‌کنیم. ما پورتفولیوهای حداقل واریانس را برای فرکانس های مختلف تعادل مجدد و با در نظر گرفتن یا محدود کردن موقعیت های کوتاه می سازیم. دو رویکرد اعمال می‌شود: مدل‌های AR-GARCH برای تناسب با توزیع‌های حاشیه‌ای دارایی‌های فردی و DCC، مشخصات کوپول دانشجویی را برای مدل‌سازی وابستگی‌های شرطی بین جفت‌ها از طریق اندازه‌گیری همبستگی تاو کندال، کج می‌کند. ما شواهدی از نقش مهمی که SRI در تنوع بخشیدن و بهبود عملکرد مالی پرتفوی ها بر اساس اوراق بهادار مختلف مانند سهام سنتی، اوراق قرضه خزانه داری، طلا، نفت خام و بیت کوین ایفا کرده است، ارائه می دهیم.
توجه! این متن ترجمه ماشینی بوده و توسط مترجمین ای ترجمه، ترجمه نشده است.
Abstract
This paper examines the diversification role of socially responsible investments (SRI) during the COVID-19 pandemic. To assess the contribution to risk diversification and improved financial performance of SRI we analyze the effect of including clean energy equities in portfolios of conventional equities and other assets commonly considered as safe havens. We construct minimum variance portfolios for different rebalancing frequencies and by considering or restricting short positions. Two approaches are applied: AR-GARCH models to fit the marginal distributions of individual assets and DCC skew Student copula specifications to model the conditional dependencies among pairs via the Kendall’s tau correlation measure. We provide evidence of the important role that SRI have played in diversifying and improving the financial performance of portfolios based on different securities such as traditional equities, Treasury bonds, gold, crude oil and Bitcoin.
Introduction
The field of socially responsible investments (SRI), which incorporates environmental, social, and governance (ESG) considerations beyond simply financial ones, in the study, analysis, and allocation of securities, has grown exponentially over the last years, driven by demand from institutional and retail investors, and regulatory pressure. The global crisis caused by the COVID-19 pandemic has brought to the fore the enormous vulnerability of economies worldwide and has reinforced the relevance of SRI in the transition towards a more balanced economy and society. Actually, sustainable investing has seen a significant increase since the pandemic outbreak in 2020. According to Morningstar, US sustainable funds gathered $51.1 billion of net inflows in 2020 and a record of $69.2 billion in 2021, more than double and triple, respectively, the inflows of $21.4 billion in 2019. Furthermore, investors poured $45.6 billion into ESG funds globally in the first quarter of 2020, which sharply contrasts with global outflows of $384.7 billion for the overall fund universe. Growing cumulative flows in sustainable funds evidence the higher resilience of SRI during the COVID-19 crisis in comparison to its conventional counterpart.
Conclusions and remarks
Our study evaluates the diversification benefits in terms of risk reduction and performance improvement associated with combining renewable energy equities with a variety of asset classes. As the COVID-19 pandemic unfolds, the potential role of ESG stocks as diversifiers, hedges, and even safe havens is examined from the perspective of extreme tail dependence. We also analyze the impact of including SRI in actively managed portfolios with different rebalancing frequencies. These portfolios contain other asset classes, including conventional equities, Treasury bonds, crude oil, gold, and cryptocurrencies. By analyzing the case of clean energy equities in market periods of exceptional volatility, this paper contributes to the literature on the hedging properties of ESG assets across a variety of asset classes and on the downside risk measure behavior of portfolios that include these assets. As a result of the shortage of related empirical research covering the COVID-19 outbreak, this study employs an AR (1)-GARCH (1,1) approach to model the marginal distributions, and a DCC skew Student copula method to fit the conditional dependencies via Kendall’s tau. The conditional covariances for each ESG-asset combination are used to calculate a minimum variance portfolio rebalancing process that alternately allows and restricts short positions. In this study, we measure the benefits of combining clean energy stocks with individual assets in terms of overall risk-return (Sharpe ratio) and downside risk-return (Kappa ratio and Omega ratio).