Performance of ESG Stocks : Case of Stock Exchange of Thailand
Keywords:
ESG Stock, CAPM model, Fama-French-Three-Factor modelAbstract
ESG Stocks are stocks of the companies that operate for Sustainable Growth by putting into consideration the Environmental Factor (E), the Social Responsibility Factor (S) and the Corporate Governance Factor (G). Due to the higher interest in investing in ESG stocks, the objective of this paper is, therefore, set up in order to study the performance of ESG stocks by formatting ESG stocks into 2 groups. The portfolios are formed based on socially and environmentally sensitive industries: sensitive industry and non-sensitive industry and their performances are compared with the performances of Non-ESG stocks. Data are collected for a total of 120 months from January 2012 to December 2021 using Jensen’s Alpha as a proxy to measure the stock performance. According to the Fama-French-Three-Factor Model, positive Jensen’s Alphas are detected significantly for the ESG stocks, both in sensitive and non-sensitive industries while the Alpha of Non-ESG stocks is not significant. Result of this study confirms the hypothesis that the performance of ESG stocks, measured by Jensen’s Alpha is better than Non-ESG stocks. The result of this study will help investors in setting the strategy in selecting stocks for their portfolio, help stimulate the listed companies to operate by paying more attention to ESG issues and support Stock Exchange of Thailand to promote the listed companies in participating and answering the questionnaires to get selected and be included in the list of Thailand Sustainability Investment (THSI).
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