This study examines the relationships between the individual components of environmental, social, and governance (ESG) performance and future stock returns of US Real Estate Investment Trusts (REITs). The findings demonstrate a negative association between environmental performance and expected returns, while social performance shows a positive relationship with future returns. Moreover, the study investigates whether the observed negative (positive) relationship between environmental (social) performance and equity returns can be attributed to the predictability of ESG components on future firm fundamentals or investor preferences towards different ESG components. The results indicate that environmental performance has a detrimental impact on firm fundamentals in REITs, including future profits, external financing, and stock risk. Conversely, social performance exhibits a positive association with future firm fundamentals. Institutional investors do not significantly reduce ownership to REITs with strong environmental performance but increase their ownership of REITs with strong social performance. In summary, this study highlights that the relationship between ESG and equity varies depending on the specific ESG components under consideration.

中文翻译：

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ESG 成分和股票回报：来自房地产投资信托基金的证据


本研究考察了美国房地产投资信托基金 （REIT） 的环境、社会和治理 （ESG） 绩效的各个组成部分与未来股票回报之间的关系。研究结果表明，环境绩效与预期回报之间存在负相关，而社会绩效则与未来回报呈正相关。此外，该研究调查了观察到的环境（社会）绩效与股票回报之间的负（正）关系是否可以归因于 ESG 成分对未来公司基本面的可预测性或投资者对不同 ESG 成分的偏好。结果表明，环境绩效对 REITs 的公司基本面有不利影响，包括未来利润、外部融资和股票风险。相反，社会绩效与未来的公司基本面呈正相关。机构投资者不会大幅减少对环境表现良好的房地产投资信托基金的所有权，但会增加他们对社会表现强劲的房地产投资信托基金的所有权。总之，本研究强调 ESG 和股票之间的关系因所考虑的特定 ESG 组成部分而异。