Environmental, Social and Governance Exchange-Traded Funds: Do They Attract More Cash Flows Than Their Conventional Counterparts?

학위논문 (석사) -- 서울대학교 대학원 : 공과대학 협동과정 기술경영·경제·정책전공, 2020. 8. Lee Jeong-Dong.The integration of environmental, social and governance (ESG) factors into the investing process is underpinned by the growing popularity of sustainable development strategies and global concerns regarding the environment. However, scholars are not in agreement about whether ESG investing obliges an investor to sacrifice financial returns, does not affect the performance of financial entities, or can improve it. Such investing can be done using different financial instruments. This study deals with one of those instruments – exchange-traded funds or ETFs. These funds are one of the most prospective investment vehicles because of their special properties. Moreover, ESG ETFs are being popularised, and they demand attention from both practitioners and academia. However, existing studies concerning ESG ETFs are rather scarce, and they focus on performance measured by risk-return characteristics. This paper addresses that gap in the literature and investigates a special financial issue that has not been discovered in the case of ESG ETFs – whether such funds can attract more financial flow than their conventional counterparts – which may reflect investors demand for ESG ETFs. In particular, this study examines the relationship between the inflows to such funds and their compliance with ESG criteria, using two types of regression models. First, it exploits cross-sectional data on bond and equity ETFs traded in the U.S., and it investigates the relationship between higher ESG scores and higher inflows. Second, the study uses historical data on U.S. bond and equity ETFs in 2- and 3- year periods, and it applies pooled OLS and mixed effects models to panel data samples of ESG and non-ESG ETFs distinguished by a dummy variable. The positive relationship between financial flows and ESG score was partially proved: a statistically significant and positive coefficient of variables representing ESG scores was observed in the case of the equity ETF model. However, its value was too modest to draw any meaningful conclusions. In the model for bond ETFs, no such evidence was found. This might be because of the small size of the sample and other methodological weaknesses. On the contrary, in all specifications operating different samples of panel data dummy variables representing ESG labelling had relatively high, positive and statistically significant coefficients. To be precise, on average, compliance of ETFs with ESG criteria may promise 2.1-3.5% of additional inflows. This is in line with other ESG fund literature, e.g. studies dealing with mutual funds. This result gives a strong market signal to ETF providers, other market participants and policy makers; it contributes to the dilemma regarding the financial impact of ESG factors, and it opens up many directions concerning financial properties and other specificities of ESG ETFs. Several implications for the broader literature on exchange-traded funds also are identified and discussed. At present, there are still many limitations to this type of research. However, as more ESG ETFs emerge – those limitations can be overcome. This paper provides a strong background for further studies in this area, and it suggests possible improvements for later studies.ESG 요소의 투자 프로세스 통합은 지속가능한 발전 전략 및 환경 문제와 관한 전세계적 관심의 증대와 함께 관심을 받고 있다. 그러나, ESG 투자와 금융 수익의 관계 및 금융 기업의 성과 영향 등에 대해서는 합의된 결론이 존재하지 않는다. ESG 투자는 다양한 금융 상품을 통해 수행될 수 있으나, 본 연구에서는 상장지수펀드(ETF)를 중점적으로 살펴본다. 상장지수펀드는 고유의 특성으로 인해 가장 유망한 투자 수단 중 하나로 주목받고 있다. ESG ETF 는 대중화되고 있으며 실무자 및 학계의 높은 관심을 얻고 있으나, 관련 기존 연구는 대부분 위험-수익 특성에 의해 추정된 상품의 성과에 초점을 맞추고 있다. 본 연구는 ESG ETF 와 관련하여 기존에 발견되지 않았던 특별한 금융 이슈를 제시하여 기존 연구의 한계를 보완한다. 이는 ESG ETF 에 대한 투자자들의 수요를 표현하여 다른 전통적인 투자 수단에 대비하여 더 많은 금융 흐름을 유도하는 ESG ETF 의 특성에 기반한다. 구체적으로, 본 연구는 두 가지 유형의 회귀분석을 사용하여 ESG 기준에 따른 자금의 조달과 유입 간의 관계를 확인한다. 먼저, 미국에서 거래되는 채권 및 주가 ETF 의 자료를 조사하여 높은 ESG 점수와 ETF 관련 현금 흐름 간의 관계를 조사한다. 이어, 미국의 채권 및 주가 ETF 에 관한 2~3 년의 과거 데이터를 활용하여 ESG 와 비-ESG 간 효과의 차이를 최소자승법(OLS) 및 혼합 효과 모형으로 추정한다. 분석 결과, 금융 흐름과 ESG 점수 사이에는 양의 관계가 부분적으로 존재하는 것으로 나타났으나 강한 상관관계를 증명하기에는 부족하였다. 결합 ETF 가 있는 모형에서는 샘플 수의 부족 및 방법론적 한계로 인해 유의한 관계가 나타나지 않았다. 반면, ESG 라벨링을 나타내는 더미 변수를 사용한 분석에서는 통계적으로 101 유의한 양의 관계가 나타났다. 구체적으로는, ESG 기준에 따른 ETF 의 평균 자금 조갈은 추가 유입의 2.1 ~3.5%를 차지하는 것으로 나타났는데, 이는 뮤추얼 펀드와 관련한 기존 연구의 결론과 일치한다. 본 연구의 결과는 정책 입안자 뿐 아니라 ETF 의 제공 업체 및 기타 시장 참여자에게 시사점을 제공한다. 구체적으로 ESG 요소의 재정적 영향에 대한 딜레마를 표현하고, ESG ETF 의 재무 특성 및 기타 특성과 관련한 방향성을 확인할 수 있다. 상장지수펀드와 관련한 다양한 문헌에서 언급된 결론 역시 본 연구의 결과를 통해 해석될 수 있다. 현재 ESG ETF 와 관련한 많은 제한이 있지만, 더 많은 상품의 등장을 통해 해결할 수 있을 것으로 기대된다. 본 논문은 관련 분야의 후속 연구에 있어서 연구 배경과 향후 연구를 통한 개선점을 제시하는 의미가 있다.1. Introduction 1 2. Theory and Hypothesis 6 2.1. Basics of Investment Funds and Passive Investing 6 2.2. Exchange-Traded Funds as the disruptive invention 10 2.3. Environmental, Social and Governance Exchange-Traded Funds: main properties and description of the market 17 3. Literature review 23 4. Methodology and Approach 35 4.1. Common methods in funds literature 35 4.2. Cross-sectional regression model 37 4.3. Panel data model 39 5. Data 43 5.1. Cross-sectional data 43 5.2. Panel data 47 6. Findings 58 6.1. Models with cross-sectional data 58 6.2. Models with panel data 61 7. Discussion and conclusion 75 Bibliography 87 Appendix A 97 Appendix B 98 Appendix C 99 Abstract (Korean) 100Maste

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