Abstract
The environmental, social, and governance (ESG) investment has evolved from the concept of socially responsible investing (SRI) starting in the period concerned with the civil rights movement and social responsibility. The concept of socially responsible investing has evolved into sustainable investment focusing on the companies that show concerns about environmental, social, and governance (ESG). This study aims to investigate the performance of ESG investment in the Stock Exchange of Thailand based on the list of companies with good performances in environmental, social and governance known as “ESG100 Companies” in Thailand. The performance of ESG investment is not different from the corresponding benchmarks. However, the risk of ESG portfolio is lower both in term of total risk and systematic risk, which results in the abnormal performance measured by Jensen’s Alpha. Finally, the list of ESG100 companies does not provide only static information in portfolio selection, but it can also provide information like the persistence in the list or the new inclusion to the list that can help in constructing the investment portfolio and generate abnormal performance.
Highlights
The severe rapid change in the Environment, Social and Economics have placed the firms into more volatile situations
This study aims to investigate the performance of ESG investments in the Stock Exchange of Thailand
The list is usually published in May, the performance of ESG portfolio is measured from the second half of the year and the first half of the following year
Summary
The severe rapid change in the Environment, Social and Economics have placed the firms into more volatile situations. There are factors that in earlier periods had shown slow or almost no change such as natural disasters and digital transformations that have turned to be of mega impact at an exponential rate. The investment portfolio and the capital market were at last put into less predictable returns and more predictable higher risk. Hedging for the volatility is one of the solutions for the investors to manage those risks and maintain the return. The rapid change in the ecology of investment has impacted the whole market situation. The value of global disaster has increased 7.9 times when compared to the period of 1960-1969 and 2000-20009 (EMDAT, 2020)
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