Comparison of Investment Performance of Sustainable Stocks and Non-Sustainable Stock Using the Sharpe Ratio.
Keywords:
The Thailand Sustainability Index, Sustainable stocks, Sharpe ratio, COVID-19, Invest in CrisisAbstract
This research article analyzes the efficacy of investing in securities listed in the Thailand Sustainability Investment (THSI) in Thailand. The study compares the statistical difference of Sharp's t-test between THSI and non-THSI securities, using a sample of 22 securities. The study is divided into two periods: the first period from 2018-2022, and the second period "during" the COVID-19 crisis from 2019-202. The findings indicate that THSI securities in the agricultural and food industry had significantly higher Sharpe values compared to non-THSI securities in the same industry during the first period. Similarly, THSI securities in the real estate and construction industry had statistically significantly higher Sharpe values compared to non-THSI securities in the same industry during the second period. Therefore, investors on the Stock Exchange of Thailand can improve their investment efficiency by choosing to invest in THSI securities in the agricultural and food industries and managing risks from changes in security prices during times of crisis by investing in THSI, Property, and construction industry in THSI.
References
Aboud, A., & Diab, A. (2019). The financial and market consequences of environmental, social and governance ratings: The implications of recent political volatility in Egypt. Sustainability Accounting, Management and Policy Journal, 10(3), 498–520. https://doi.org/10.1108/SAMPJ-06-2018-0167
Alda, M. (2021). The environmental, social, and governance (ESG) dimension of firms in which social responsible investment (SRI) and conventional pension funds invest: The mainstream SRI and the ESG inclusion. Journal of Cleaner Production, 298, 126812. https://doi.org/10.1016/j.jclepro.2021.126812
Alliance, G. S. I. (2018). Global sustainable investment review. GSIA. https://www.gsi-alliance.org/wp-content/uploads/2019/03/GSIR_Review2018.3.28.pdf
Ashwin Kumar, N. C., Smith, C., Badis, L., Wang, N., Ambrosy, P., & Tavares, R. (2016). ESG factors and risk-adjusted performance: a new quantitative model. Journal of Sustainable Finance and Investment, 6(4), 292–300. https://doi.org/10.1080/20430795.2016.1234909
Asvathitanont, C., & Tangjitprom, N. (2020). The Performance of Environmental, Social, and Governance Investment in Thailand. International Journal of Financial Research, 11(6), 253. https://doi.org/10.5430/ijfr.v11n6p253
Atkins, J., Doni, F., Gasperini, A., Artuso, S., La Torre, I., & Sorrentino, L. (2022). Exploring the Effectiveness of Sustainability Measurement: Which ESG Metrics Will Survive COVID-19? Journal of Business Ethics, 185(3), 629-646. https://doi.org/10.1007/s10551-022-05183-1
Auer, B. R., & Schuhmacher, F. (2016). Do socially (ir)responsible investments pay? New evidence from international ESG data. Quarterly Review of Economics and Finance, 59, 51–62. https://doi.org/10.1016/j.qref.2015.07.002
Burchi, A., Włodarczyk, B., Szturo, M., & Martelli, D. (2021). The effects of financial literacy on sustainable entrepreneurship. Sustainability, 13(9), 5070. https://doi.org/10.3390/su13095070
Chongruksut, W. (2015). Factors influencing corporate social responsibility disclosure in Thailand. Kasetsart Journal of Social Sciences, 36(2), 230–243. [In Thai]
Connelly, B. L., Certo, S. T., Ireland, R. D., & Reutzel, C. R. (2011). Signaling theory: A review and assessment. Journal of Management, 37(1), 39–67. https://doi.org/10.1177/0149206310388419
Corbet, S., Hou, Y., Hu, Y., & Oxley, L. (2020). The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. International Review of Financial Analysis, 72, 101560. https://doi.org/10.1016/j.irfa.2020.101560
Czerwińska, T., & Kaźmierkiewicz, P. (2015). ESG rating in investment risk analysis of companies listed on the public market in Poland. Economic Notes: Review of Banking, Finance and Monetary Economics, 44(2), 211-248.
Dunn, J., Fitzgibbons, S., & Pomorski, L. (2018). Assessing risk through environmental, social and governance exposures. Journal of Investment Management, 16(1), 4-17.
Ferriani, F., & Natoli, F. (2021). ESG risks in times of Covid-19. Applied Economics Letters, 28(18), 1537–1541.
https://doi.org/10.1080/13504851.2020.1830932
Huang, D. Z. X. (2022). Environmental, social and governance factors and assessing firm value: valuation, signalling and stakeholder perspectives. Accounting and Finance, 62(S1), 1983–2010. https://doi.org/10.1111/acfi.12849
Jacobsen, B., Lee, W., & Ma, C. (2019). The alpha, beta, and sigma of esg: better beta, additional alpha? Journal of Portfolio Management, 45(6), 6–15. https://doi.org/10.3905/jpm.2019.1.091
Jain, M., Sharma, G. D., & Srivastava, M. (2019). Can sustainable investment yield better financial returns: A comparative study of ESG indices and MSCI indices. Risks, 7(1), 15. https://doi.org/10.3390/risks7010015
Jongprasopsap, T., Suksawat, J., & Phuensane, P. (2020). A Return Volatility of ESG Stocks in SETTHSI index. In Y. Tepanon (Ed.), The 8th Annual Nataional Conference on Business and Accounting (pp. 396–405). Kasetsart Business School. http://www.ncba.bus.ku.ac.th/images/ncba_proceeding/Proceeding_NCBA8_Oral.pdf [In Thai]
La Torre, M., Mango, F., Cafaro, A., & Leo, S. (2020). Does the ESG index affect stock return? Evidence from the Eurostoxx50. Sustainability, 12(16), 6387. https://doi.org/10.3390/SU12166387
Lee, M. T. (2016). Corporate social responsibility and stock price crash risk: Evidence from an Asian emerging market. Managerial Finance, 42(10), 963–979. https://doi.org/10.1108/MF-10-2015-0278
Madhavan, A., Sobczyk, A., & Ang, A. (2021). Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens. Financial Analysts Journal, 77(1), 69–88. https://doi.org/10.1080/0015198X.2020.1816366
Ng, A. C., & Rezaee, Z. (2020). Business sustainability factors and stock price informativeness. Journal of Corporate Finance, 64, 101688. https://doi.org/10.1016/j.jcorpfin.2020.101688
Omura, A., Roca, E., & Nakai, M. (2021). Does responsible investing pay during economic downturns: Evidence from the COVID-19 pandemic. Finance Research Letters, 42, 101914. https://doi.org/10.1016/j.frl.2020.101914
Palmrose, Z. V., Richardson, V. J., & Scholz, S. (2004). Determinants of market reactions to restatement announcements. Journal of Accounting and Economics, 37(1), 59–89. https://doi.org/10.1016/j.jacceco.2003.06.003
Pollard, J. L., Sherwood, M. W., & Klobus, R. G. (2018). Establishing ESG as risk premia. Journal of Investment Management, 16(1), 32-43.
Ramírez-Orellana, A., Martínez-Victoria, Mc. C., García-Amate, A., & Rojo-Ramírez, A. A. (2023). Is the corporate financial strategy in the oil and gas sector affected by ESG dimensions? Resources Policy, 81, 103303. https://doi.org/10.1016/j.resourpol.2023.103303
Rattanaampol, K., Pongsupatt, T., & Pongsupatt, A. (2021). Factors affecting stock prices of sustainable investment group in the stock exchange of Thailand. Journal of Buddhist Education and Research, 7(3), 62–76. [In Thai]
Satirapipatkul, P. (2021). Adaptation Strategies to COVID - 19 Impact on Business of the Set - Registered Real Estate Development Companies in 2020. Sarasatr, 4(2), 451–464. [In Thai]
Schmidt, A. B. (2022). Optimal ESG portfolios: an example for the Dow Jones Index. Journal of Sustainable Finance and Investment, 12(2), 529-535. https://doi.org/10.1080/20430795.2020.1783180
Sood, K., Arijit, K., Pathak, P., & Purohit, H. C. (2022). Did ESG portfolio augment investors’ wealth during Covid19? Evidence from Indian stock market. Sustainability Accounting, Management and Policy Journal, (ahead-of-print). https://doi.org/10.1108/SAMPJ-02-2022-0087
Stellner, C., Klein, C., & Zwergel, B. (2015). Corporate social responsibility and Eurozone corporate bonds: The moderating role of country sustainability. Journal of Banking and Finance, 59, 538–549. https://doi.org/10.1016/j.jbankfin.2015.04.032
Suttipun, M., & Yordudom, T. (2021). Impact of environmental, social and governance disclosures on market reaction: an evidence of Top50 companies listed from Thailand. Journal of Financial Reporting and Accounting, 20(3/4), 753-767.
Tasnia, M., Syed Jaafar AlHabshi, S. M., & Rosman, R. (2021). The impact of corporate social responsibility on stock price volatility of the US banks: a moderating role of tax. Journal of Financial Reporting and Accounting, 19(1), 77–91. https://doi.org/10.1108/JFRA-01-2020-0020
Ur Rehman, R., Zhang, J., Uppal, J., Cullinan, C., & Akram Naseem, M. (2016). Are environmental social governance equity indices a better choice for investors? An Asian perspective. Business Ethics: A European Review , 25(4), 440–459. https://doi.org/10.1111/beer.12127
Verheyden, T., Eccles, R. G., & Feiner, A. (2016). ESG for all? The impact of ESG screening on return, risk, and diversification. Journal of Applied Corporate Finance, 28(2), 47-55.
WHO. (n.d.). Coronavirus disease (COVID-19) pandemic. WHO. https://www.who.int/europe/emergencies/situations/covid-19
Zhang, Y., & Wiersema, M. F. (2009). Stock market reaction to CEO certification: The signaling role of CEO background. Strategic Management Journal, 30(7), 693–710. https://doi.org/10.1002/smj.772
Zharfpeykan, R., & Ng, F. (2021). COVID-19 and sustainability reporting: what are the roles of reporting frameworks in a crisis? Pacific Accounting Review, 33(2), 189–198. https://doi.org/10.1108/PAR-09-2020-0169
Ziegler, C., Morelli, V., & Fawibe, O. (2019). Climate change and underserved communities. Physician Assistant Clinics, 4(1), 203-216.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2023 Journal of Business Administration The Association of Private Higher Education Institutions of Thailand
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
บทความที่ลงตีพิมพ์ในวารสารวิชาการบริหารธุรกิจ สมาคมสถาบันอุดมศึกษาเอกชนแห่งประเทศไทยต้องเป็นบทความที่ไม่เคยได้รับการตีพิมพ์เผยแพร่ หรืออยู่ระหว่างการพิจารณาตีพิมพ์ในวารสารอื่นๆ การละเมิดลิขสิทธิ์เป็นความรับผิดชอบของผู้ส่งบทความโดยตรง
