美國REITs的ESG表現對其投資績效的影響

Abstract

本文以2015-2020年間美國市場的88間E – REITs作為樣本，探討ESG表現對REITs投資報酬績效的影響。本文發現，ESG表現越好的REITs，其營運績效與報酬率反而較低。拆分個別因素來看，社會表現與公司治理表現的影響並不顯著，但環境表現對REITs報酬與績效的影響最大，呈顯著負相關。由實務觀點而言，環境層面的投資會造成高昂的財務成本，降低REITs的營運績效，進而影響報酬表現。但針對辦公與工業類型REITs，環境表現較佳卻可以提升物業的競爭力，對營運績效產生正向影響。此外，在風險特性的部分，本文發現ESG評級的高低對REITs的防禦性並沒有顯著的解釋。但沒有揭露ESG的REITs，在大盤劇跌的事件日下有較差的抗跌性與相對大盤較大的波動度。這些研究有助於投資人理解在當下的市場環境中ESG評分在投資組合建構上的運用。

This paper examines the impact of ESG rating on the investment performance of US REITs, using a sample of 88 REITs in the US market between 2015 and 2020. This paper finds that REITs with better ESG performance have lower operating performance and lower return. When breakdown into individual factors, social performance and corporate governance performance do not have a significant impact, but environmental performance is significantly negatively correlated with return and operating performance (ROA). From a practical point of view, it can be assumed that the high cost of environmental investment on real estate will reduce the operating performance (ROA) of the REITs, which will also affect REITs’ investment performance. However, for office and industrial REITs, better environmental performance can improve the competitiveness of the property and have a positive impact on operating performance. In addition, in terms of risk characteristics, we find that the level of ESG rating does not significantly explain the defensibility of REITs. However, REITs that don’t disclose ESG not only have greater volatility relative to the market, but also have poorer performance on days that have huge decline on market index. These studies will help investors to understand the use of ESG rating in portfolio construction in the current market environment.