报告主题：Responsible investing: The ESG-efficient frontier

时间：2025年6月6日13:00-13:45

地点：腾讯会议 会议号：968 2605 9049 

报告人：刘慧媛

报告内容简介：

This paper propose a theory in which each stock’s environmental, social, and governance (ESG) score plays two roles: (1) providing information about firm fundamentals and (2) affecting investor preferences. The solution to the investor’s portfolio problem is characterized by an ESG-efficient frontier, showing the highest attainable Sharpe ratio for each ESG level. The corresponding portfolios satisfy four-fund separation. Equilibrium asset prices are deter- mined by an ESG-adjusted capital asset pricing model, showing when ESG raises or lowers the required return. Combining several large data sets, we compute the empirical ESG- efficient frontier and show the costs and benefits of responsible investing. Finally, we test our theory’s predictions using proxies for E (carbon emissions), S, G, and overall ESG.

主讲人简介：

刘慧媛，2013年毕业于上海交通大学安泰经济与管理学院，获经济学博士学位。上海立信会计金融学院金融统计系副教授，研究方向为绿色金融。