ユヤマ　トモノリ   YUYAMA Tomonori   湯山 智教    所属   専修大学  商学部    職種   准教授
発行・発表の年月	2023/09
形態種別	研究論文
査読	査読あり
標題	Diversified ESG Evaluation by Rating Agencies and Net Carbon Tax to Regain Optimal Portfolio Allocation
執筆形態	共著
掲載誌名	Asian Economic Papers
掲載区分	国外
巻・号・頁	22(3),81-96頁
著者・共著者	Naoyuki Yoshino,Tomonori Yuyama,Farhad Taghizadeh-Hesary
概要	Environmental, Society, and Governance (ESG) investments have become increasingly popular in recent years, and, at the same time, many rating agencies provide ESG scores for each company. This means that the ESG investment model may have moved from the traditional two-factor model of risk-return to a three-factor model adding an ESG component to it. This paper highlights the potential for distor tion of asset allocation through the shift from traditional risk-return considerations to ESG score considerations. This is equally true for green bonds, resulting in the potential for asset allocation to be distor ted by green bond criteria. Fur thermore, we show that imposing a net carbon tax on greenhouse gas (GHG) emissions is a measure to correct this distor tion in asset allocation and make asset allocation more risk-return based, in addressing global environmental issues.
DOI	10.1162/asep_a_00871
ISSN	1535-3516/1536-0083