Foundations of ESG Investing

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1、RESEARCHINSIGHTFOUNDATIONSOFESGINVESTINGPart1:HowESGAffectsEquityValuation,RiskandPerformanceGuidoGiese,Linda-ElingLee,DimitrisMelas,ZoltanNagy,LauraNishikawaNovember2017NOVEMBER2017FOUNDATIONSOFESGINVESTING

2、NOVEMBER2017CONTENTSExecutiveSummary..........

3、..................................................................3Introduction.......................................................................................4WhyESGMatters..........................................................................

4、......................6DataandMethodology.......................................................................................7IdiosyncraticTransmissionChannels..................................................7Cash-FlowChannel.........................

5、.....................................................................8IdiosyncraticRiskChannel................................................................................11SystematicRiskTransmissionChannel.............................................

6、15ValuationChannel.............................................................................................15FromCorrelationtoCausality..........................................................22CausalityintheSystematicRiskChannel....................

7、......................................23CausalityintheIdiosyncraticRiskChannel.......................................................26ESGMomentum...............................................................................28FactorIntensityandLongevity

8、.........................................................29ESGandStockPerformance.............................................................32Conclusion.......................................................................................34Appendix...

9、.......................................................................................35References.......................................................................................38©2017MSCIInc.Allrightsreserved.Ple