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Korean Academic Society of Business Administration
[ Article ]
korean management review - Vol. 53, No. 1, pp.1-26
ISSN: 1226-1874 (Print)
Print publication date 28 Feb 2024
Received 17 Oct 2023 Accepted 13 Nov 2023
DOI: https://doi.org/10.17287/kmr.2024.53.1.1

ESG Rating이 주식형 펀드의 ESG 투자 효율성에 미치는 영향

SoonHak Kwon ; SangWhi Lee
(First Author) Kyung Hee University bullkwon@gmail.com
(Corresponding Author) Kyung Hee University slee@khu.ac.kr
The Impact of ESG Rating on Investment Efficiency of Equity Funds


Copyright 2024 THE KOREAN ACADEMIC SOCIETY OF BUSINESS ADMINISTRATION
This is an open access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

This research aims to analyze the investment efficiency of ESG (Environmental, Social, Governance) in equity funds during the period from 2018 to 2022. The output variables include annual returns, Jensen's alpha, and the Sharpe ratio of equity ESG funds. Input variables comprise the average ESG scores of the top 30 companies within the funds' portfolios. Data Envelopment Analysis (DEA) is conducted in two stages: initially using the overall ESG score and subsequently using Environment (E), Social (S), and Governance (G) scores as separate inputs. The CCR and BCC models are employed for initial efficiency assessments, with the super-efficiency CCR model re-evaluating and ranking Decision Making Units (DMUs) that demonstrate the 100% efficiency. The study focuses on domestic equity funds classified under ESG, excluding any that were newly established or terminated within the study period, or that had missing data for returns, Sharpe ratio, or Jensen's alpha. Key findings are as follows: Equity funds exhibit varied ESG investment efficiency, which depends on their specific Environment, Social, and Governance components. ESG investments in these funds were found to be higher than market expectations, providing valuable insights for formulating ESG investment strategy in equity funds.

Keywords:

ESG, Stock Fund, Investment Efficiency, Data Envelopment Analysis

Acknowledgments

This article is based on a part of the first author's doctoral dissertation from Kyung Hee University

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∙ The author Soonhak Kwon is currently serving as CEO and President of Multi Asset Management Co., Ltd. He’s been working in the capital market-related industry for more than 34 years. He graduated from Hanyang University Law School and earned an EMBA from Helshinki School of Economics (currently ALTO University). He has since completed a doctoral degree program at Kyung Hee University Graduate School and has been conducting research.

∙ The author Sangwhi Lee is currently employed as a professor in the Department of International Business and Trade at Kyung Hee University. He obtained a Ph.D. in Finance from the University of Kentucky. He has also been actively involved as a vice president in the Korean Finance Association and the Korea Money and Finance Association.