Can SET ESG Ratings Surpass the Benchmarks Before, During, and After the COVID-19 Pandemic?

บทคัดย่อ

Sustainability investment has gained significant momentum globally as investors increasingly consider the long-term environmental and social impacts of their investments, especially the climate change that increases business risk. This paper commences by exploring our primary research questions, specifically examining whether SET ESG Ratings exhibit superior performance compared to the benchmark before, during, and after the COVID-19 pandemic. Our findings reveal that prior to the COVID-19 crisis, the SET 50 Index outperformed the ranks, boasting the highest Sharpe Ratio, Sortino Ratio, and Treynor Ratio. However, during the COVID-19 pandemic crisis, post-COVID-19 pandemic crisis, and across the total periods, SET ESG Ratings demonstrated superior performance. In our regression analysis, it was observed that SET ESG ratings consistently demonstrated lower risk when compared to the SET 50 Index across various periods. While SET ESG ratings exhibited higher risk than the SET Index for all periods except the post COVID-19 pandemic, where SET ESG ratings starting to display lower risk than the SET Index. Our findings indicate that investing stocks in SET ESG Ratings has the potential to enhance the risk-adjusted returns of a portfolio compared to its corresponding market benchmark indices including SET 50 and SET indices. Sustainability investments have proven advantageous since the COVID-19 pandemic crisis.