ОЦІНКА ВЗАЄМОЗВ’ЯЗКУ РІВНЯ ОЧІКУВАНОЇ ДОХІДНОСТІ, РИЗИКУ, ESG-ОЦІНКИ ТА ЦІЛЕЙ СТАЛОГО РОЗВИТКУ КОМПАНІЙ

Ключові слова: цілі сталого розвитку, очікувана дохідність акцій, оцінка ризику, ESG, ESG-оцінка, портфельні інвестиції

Анотація

Стаття присвячена виявленню рівня взаємозалежності між чотирма характеристиками – рівнем очікуваної дохідності, рівнем ризику та ESG-рейтингом (оцінкою) й кількістю цілей сталого розвитку, на яких фокусується обраних компаній. Шляхом проведення кореляційного аналізу розраховано, що наявна дуже слабка від’ємна кореляція між рівнем ризику та очікуваної дохідності та між рівнем очікуваної дохідності та кількістю цілей сталого розвитку. Між рівнем ризику та ESG-рейтингом (оцінкою), а також між рівнем очікуваної дохідності та ESG-рейтингом (оцінкою) присутня слабка від’ємна кореляція. Також присутня від’ємна, але помірна кореляція між рівнем ризику та кількістю цілей сталого розвитку. На противагу, лише між ESG-рейтингом (оцінкою) та кількістю цілей сталого розвитку присутня помірна позитивна кореляція.

Посилання

A. Kaminskyi, M. Nehrey, A. Fedchun. ESG-Score Effect in Risk Assessment of Direct and Portfolio Investment: Evidence from CEE Markets. The journal of V. N. Karazin Kharkiv National University. 2022. №15. P. 38–44. DOI: 10.26565/2310-9513-2022-15-04

Aldieri, L., Amendola, A., Candila, V. The Impact of ESG Scores on Risk Market Performance. 2023. DOI: https:// doi.org/10.3390/su15097183

O.M. Radu, V. D. Dragomir, L. Ionescu-Feleagă. The Link between Corporate ESG Performance and the UN Sustainable Development Goals. Sciendo. 2022. DOI: 10.2478/picbe-2023-0072

L.N. Uthuslien, S.M.-K. Andréasson. Exploring the Impact of ESG Scores on Stock Risk and Returns: A Comparative Study on the Nordic Countries' Stock Markets. Oslo Business School. 2023. URL: https://oda.oslomet.no/oda-xmlui/bitstream/handle/11250/3106856/Nelvik_Andreasson_ØMAS_2023.pdf?sequence=1&isAllowed=y

О. М. Юркевич, О. Г. Шевченко. Портфельне інвестування: зб. тренінгових завд.: навч.- метод. комплекс. КНЕУ, 2011. 76 с.

П. Савчук, В. Дудка. Оптимізація фондового портфелю. URL: https://www.management.com.ua/finance/fin013.html.

Rate the Raters 2020: Investor Survey and Interview Results. SustainAbility, an ERM Group company. 2020. 54 р. URL: https://sustainability.com/wp-content/uploads/2020/03/sustainability-ratetheraters2020-report.pdf.

Внесок українського бізнесу в реалізацію Україною Цілей сталого розвитку 2016-2020 рр. Дослідження ООН про Цілі сталого розвитку. 2020. URL: https://csr-ukraine.org/wp-content/uploads/2020/12/Vpliv-biznesu-na-CSR.pdfhttps://csr-ukraine.org/wp-content/uploads/2020/12/Vpliv-biznesu-na-CSR.pdf.

iSTOXX Global ESG Dividend Trend. URL: https://stoxx.com/index/ixesgdtg/.

ALVG Historical Data. URL: https://www.investing.com/equities/allianz-ag-historical-data.

AXAF Historical Data. URL: https://www.investing.com/equities/axa-historical-data?cid=29444.

BALN Historical Data. URL: https://www.investing.com/equities/baloise-hld-historical-data.

CAGR Historical Data. URL: https://www.investing.com/equities/credit-agricole-historical-data.

DANO Historical Data. URL: https://www.investing.com/equities/danone-historical-data?cid=963301.

DTEGn Historical Data. URL: https://www.investing.com/equities/dt-telekom-historical-data.

HELN Historical Data. URL: https://www.investing.com/equities/helvetia-hldg-historical-data.

ISP Historical Data. URL: https://www.investing.com/equities/intesa-sanpaolo-historical-data?cid=963433.

MUVGn Historical Data. URL: https://www.investing.com/equities/muench.-rueck-historical-data.

NOVN Historical Data. URL: https://www.investing.com/equities/novartis-historical-data.

NVO Historical Data. URL: https://www.investing.com/equities/novo-nordis-historical-data.

ORSTED Historical Data. URL: https://www.investing.com/equities/dong-energy-as-historical-data.

RO Historical Data. URL: https://www.investing.com/equities/roche-holding-historical-data.

0R1 Historical Data. URL: https://www.investing.com/equities/royal-unibrew-historical-data?cid=1136875.

SAMPO Historical Data. URL: https://www.investing.com/equities/sampo-plc-historical-data.

SASY Historical Data. URL: https://www.investing.com/equities/sanofi-aventis-historical-data?cid=29462.

STEAV Historical Data. URL: https://www.investing.com/equities/stora-enso-(he)-historical-data.

SRENH Historical Data. URL: https://www.investing.com/equities/swiss-re-historical-data.

TRYG Historical Data. URL: https://www.investing.com/equities/trygvesta-historical-data.

ZURN Historical Data. URL: https://www.investing.com/equities/zurich-fin-historical-data.

Allianz SE ESG Score URL: https://www.spglobal.com/esg/scores/results?cid=4174043.

AXA SA ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4009223.

Bâloise Holding AG ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4023439.

Crédit Agricole S.A. ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4085960.

Danone S.A. ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4307022.

Deutsche Telekom AG ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4066137.

Helvetia Holding AG ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4252499.

Intesa Sanpaolo S.p.A. ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4100801.

Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4005715.

Novartis AG ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4182587.

Novo Nordisk A/S ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4194544.

Ørsted A/S ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4554125.

Roche Holding AG ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4165755.

Royal Unibrew A/S ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4917007.

Sampo Oyj ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4145129.

Sanofi ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4404124.

Stora Enso Oyj ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4186547.

Swiss Re AG ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4290308.

Tryg A/S ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4145115.

Zurich Insurance Group AG ESG Score. URL: https://www.spglobal.com/esg/scores/results?cid=4042156.

Allianz Sustainability Report 2023. URL: https://www.allianz.com/content/dam/onemarketing/azcom/Allianz_com/sustainability/documents/Allianz_Group_Sustainability_Report_2023-web.pdf.

Sustainable Development Goals. URL: https://axaxl.com/about-us/sustainable-development-goals.

Sustainable Development Goals – our contribution. URL: https://www.baloise.com/dam/jcr:b3db4b1f-ab12-4b5d-b51a-4cbf058d91ab/SDG_our%20contribution_Baloise_EN_20240523.pdf.

2023-2024 INTEGRATED REPORT. URL: https://rapport-integre.credit-agricole.com/wp-content/uploads/2024/05/CreditAgricoleSA_IntegratedReport2023-2024.pdf.

Our contribution to the UN's Sustainable Development Goals. URL: https://www.danone.com/impact/un-sustainable-developement-goals.html.

Sustainable Development Goals . URL: https://report.telekom.com/annual-report-2022/management-report/combined-non-financial-statement/sustainable-development-goals.html.

Sustainability Report 2023. URL: https://www.helvetia.com/corporate/web/en/home/about-us/key-topics/sustainability/sustainability-publications.html.

UN's Sustainable Development Goals (SDGs). URL: https://group.intesasanpaolo.com/en/sustainability/sustainability-governance/sustainable-development-goals.

Novartis Environmental Sustainability Strategy. URL: https://www.novartis.com/sites/novartis_com/files/novartis-environmental-sustainability-strategy-objectives.pdf.

Sustainable Development Goals. URL: https://www.novonordisk.com/sustainable-business/esg-portal/sustainable-development-goals-.html.

Annual Report 2023. URL: https://orsted.com/en/company-announcement-list/2024/02/annual-report-for-2023--strong-underlying-results--82041&ved=2ahUKEwjmveGZgbGGAxUGPhAIHTqhCCsQFnoECA4QAw&usg=AOvVaw16zyJqZ6ktJ3qYGRn3fmlz.

UN Sustainability Development Goals. URL: https://www.roche.com/about/sustainability/un-development-goals&ved=2ahUKEwi0vobSgbGGAxVCJRAIHXqBBtgQFnoECBgQAQ&usg=AOvVaw3c88mIiz5Yg57K-VObk35c.

Our long-term sustainability/ESG strategy. URL: https://www.royalunibrew.com/sustainability/sustainability-strategy/.

Sustainability programme. URL: https://www.sampo.com/sustainability/sustainability-governance/sustainability-programme/.

Table of Ambition and Progress Towards the Sustainable Development Goals (SDGs). URL: https://www.sanofi.com/assets/dotcom/content-app/documents/Table-of-Ambition-and-Progress-Towards-Sustainable-Development-Goals-SDGs-2.pdf

Sustainable Development Goals. URL: https://www.storaenso.com/en/sustainability/sustainable-development-goals.

Sustainability Report 2023 . URL: https://www.swissre.com/dam/jcr:52d75760-2c43-4d96-be2f-0514382ac51a/2023-sustainability-report-en.pdf.

Our work with the Sustainable Development Goals. URL: https://tryg.com/en/cr/sustainable-development-goals.

United Nations Sustainable Development Goals (SDGs). URL: https://www.zurich.com/en/sustainability/-/media/Project/Zurich/Dotcom/sustainability/docs/Zurich-UN-SDGs.pdf&ved=2ahUKEwiArsHezK6GAxWqQlUIHYVOB6EQFnoECCAQAQ&usg=AOvVaw3_aTQP3MfPonApL-pngACz.

A. Kaminskyi, M. Nehrey, A. Fedchun (2022). ESG-Score Effect in Risk Assessment of Direct and Portfolio Investment: Evidence from CEE Markets. The journal of V. N. Karazin Kharkiv National University. №15. P. 38–44. DOI: 10.26565/2310-9513-2022-15-04

Aldieri, L., Amendola, A., Candila, V. (2023). The Impact of ESG Scores on Risk Market Performance. DOI: https:// doi.org/10.3390/su15097183

O.M. Radu, V. D. Dragomir, L. Ionescu-Feleagă (2023). The Link between Corporate ESG Performance and the UN Sustainable Development Goals. Sciendo. DOI: 10.2478/picbe-2023-0072

L.N. Uthuslien, S.M.-K. Andréasson (2023). Exploring the Impact of ESG Scores on Stock Risk and Returns: A Comparative Study on the Nordic Countries' Stock Markets. Oslo Business School. Available at: https://oda.oslomet.no/oda-xmlui/bitstream/handle/11250/3106856/Nelvik_Andreasson_ØMAS_2023.pdf?sequence=1&isAllowed=y

O. M. Yurkevych, O. H. Shevchenko (2011). Portfelne investuvannia [Portfolio investing]: zb. treninhovykh zavd. : navch.- metod. kompleks. KNEU. 76 p.

P. Savchuk, V. Dudka. Optymizatsiia fondovoho portfeliu [Fund portfolio optimization]. Available at: https://www.management.com.ua/finance/fin013.html.

Rate the Raters 2020: Investor Survey and Interview Results. SustainAbility, an ERM Group company. 2020. 54 р. Available at: https://sustainability.com/wp-content/uploads/2020/03/sustainability-ratetheraters2020-report.pdf.

Vnesok ukrainskoho biznesu v realizatsiiu Ukrainoiu Tsilei staloho rozvytku 2016-2020. Doslidzhennia OON pro Tsili staloho rozvytku [Contribution of Ukrainian business to the implementation of the Sustainable Development Goals by Ukraine in 2016-2020 UN Sustainable Development Goals Study]. Available at: https://csr-ukraine.org/wp-content/uploads/2020/12/Vpliv-biznesu-na-CSR.pdfhttps://csr-ukraine.org/wp-content/uploads/2020/12/Vpliv-biznesu-na-CSR.pdf.

iSTOXX Global ESG Dividend Trend. Available at: https://stoxx.com/index/ixesgdtg/

ALVG Historical Data. Available at: https://www.investing.com/equities/allianz-ag-historical-data.

AXAF Historical Data. Available at: https://www.investing.com/equities/axa-historical-data?cid=29444.

BALN Historical Data. Available at: https://www.investing.com/equities/baloise-hld-historical-data.

CAGR Historical Data. Available at: https://www.investing.com/equities/credit-agricole-historical-data.

DANO Historical Data. Available at: https://www.investing.com/equities/danone-historical-data?cid=963301.

DTEGn Historical Data. Available at: https://www.investing.com/equities/dt-telekom-historical-data.

HELN Historical Data. Available at: https://www.investing.com/equities/helvetia-hldg-historical-data.

ISP Historical Data. Available at: https://www.investing.com/equities/intesa-sanpaolo-historical-data?cid=963433.

MUVGn Historical Data. Available at: https://www.investing.com/equities/muench.-rueck-historical-data.

NOVN Historical Data. Available at: https://www.investing.com/equities/novartis-historical-data.

NVO Historical Data. Available at: https://www.investing.com/equities/novo-nordis-historical-data.

ORSTED Historical Data. Available at: https://www.investing.com/equities/dong-energy-as-historical-data.

RO Historical Data. Available at: https://www.investing.com/equities/roche-holding-historical-data.

0R1 Historical Data. Available at: https://www.investing.com/equities/royal-unibrew-historical-data?cid=1136875.

SAMPO Historical Data. Available at: https://www.investing.com/equities/sampo-plc-historical-data.

SASY Historical Data. Available at: https://www.investing.com/equities/sanofi-aventis-historical-data?cid=29462.

STEAV Historical Data. Available at: https://www.investing.com/equities/stora-enso-(he)-historical-data.

SRENH Historical Data. Available at: https://www.investing.com/equities/swiss-re-historical-data.

TRYG Historical Data. Available at: https://www.investing.com/equities/trygvesta-historical-data.

ZURN Historical Data. Available at: https://www.investing.com/equities/zurich-fin-historical-data.

Allianz SE ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4174043.

AXA SA ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4009223.

Bâloise Holding AG ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4023439.

Crédit Agricole S.A. ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4085960.

Danone S.A. ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4307022.

Deutsche Telekom AG ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4066137.

Helvetia Holding AG ESG Score. AVAILABLE AT: https://www.spglobal.com/esg/scores/results?cid=4252499.

Intesa Sanpaolo S.p.A. ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4100801.

Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4005715.

Novartis AG ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4182587.

Novo Nordisk A/S ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4194544.

Ørsted A/S ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4554125.

Roche Holding AG ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4165755.

Royal Unibrew A/S ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4917007.

Sampo Oyj ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4145129.

Sanofi ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4404124.

Stora Enso Oyj ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4186547.

Swiss Re AG ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4290308.

Tryg A/S ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4145115.

Zurich Insurance Group AG ESG Score. Available at: https://www.spglobal.com/esg/scores/results?cid=4042156.

Allianz Sustainability Report 2023. Available at: https://www.allianz.com/content/dam/onemarketing/azcom/Allianz_com/sustainability/documents/Allianz_Group_Sustainability_Report_2023-web.pdf.

Sustainable Development Goals. Available at: https://axaxl.com/about-us/sustainable-development-goals.

Sustainable Development Goals – our contribution. Available at: https://www.baloise.com/dam/jcr:b3db4b1f-ab12-4b5d-b51a-4cbf058d91ab/SDG_our%20contribution_Baloise_EN_20240523.pdf.

2023-2024 INTEGRATED REPORT. Available at: https://rapport-integre.credit-agricole.com/wp-content/uploads/2024/05/CreditAgricoleSA_IntegratedReport2023-2024.pdf.

Our contribution to the UN's Sustainable Development Goals. Available at: https://www.danone.com/impact/un-sustainable-developement-goals.html.

Sustainable Development Goals. Available at: https://report.telekom.com/annual-report-2022/management-report/combined-non-financial-statement/sustainable-development-goals.html.

Sustainability Report 2023. Available at: https://www.helvetia.com/corporate/web/en/home/about-us/key-topics/sustainability/sustainability-publications.html.

UN's Sustainable Development Goals (SDGs). Available at: https://group.intesasanpaolo.com/en/sustainability/sustainability-governance/sustainable-development-goals.

Novartis Environmental Sustainability Strategy. Available at: https://www.novartis.com/sites/novartis_com/files/novartis-environmental-sustainability-strategy-objectives.pdf.

Sustainable Development Goals. Available at: https://www.novonordisk.com/sustainable-business/esg-portal/sustainable-development-goals-.html.

Annual Report 2023. Available at: https://orsted.com/en/company-announcement-list/2024/02/annual-report-for-2023--strong-underlying-results--82041&ved=2ahUKEwjmveGZgbGGAxUGPhAIHTqhCCsQFnoECA4QAw&usg=AOvVaw16zyJqZ6ktJ3qYGRn3fmlz.

UN Sustainability Development Goals. Available at: https://www.roche.com/about/sustainability/un-development-goals&ved=2ahUKEwi0vobSgbGGAxVCJRAIHXqBBtgQFnoECBgQAQ&usg=AOvVaw3c88mIiz5Yg57K-VObk35c.

Our long-term sustainability/ESG strategy. Available at: https://www.royalunibrew.com/sustainability/sustainability-strategy/.

Sustainability programme. Available at: https://www.sampo.com/sustainability/sustainability-governance/sustainability-programme/.

Table of Ambition and Progress Towards the Sustainable Development Goals (SDGs). Available at: https://www.sanofi.com/assets/dotcom/content-app/documents/Table-of-Ambition-and-Progress-Towards-Sustainable-Development-Goals-SDGs-2.pdf

Sustainable Development Goals. Available at: https://www.storaenso.com/en/sustainability/sustainable-development-goals.

Sustainability Report 2023. Available at: https://www.swissre.com/dam/jcr:52d75760-2c43-4d96-be2f-0514382ac51a/2023-sustainability-report-en.pdf.

Our work with the Sustainable Development Goals. Available at: https://tryg.com/en/cr/sustainable-development-goals.

United Nations Sustainable Development Goals (SDGs). Available at: https://www.zurich.com/en/sustainability/-/media/Project/Zurich/Dotcom/sustainability/docs/Zurich-UN-SDGs.pdf&ved=2ahUKEwiArsHezK6GAxWqQlUIHYVOB6EQFnoECCAQAQ&usg=AOvVaw3_aTQP3MfPonApL-pngACz.

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Опубліковано
2024-07-29
Як цитувати
Шморгун , І. (2024). ОЦІНКА ВЗАЄМОЗВ’ЯЗКУ РІВНЯ ОЧІКУВАНОЇ ДОХІДНОСТІ, РИЗИКУ, ESG-ОЦІНКИ ТА ЦІЛЕЙ СТАЛОГО РОЗВИТКУ КОМПАНІЙ. Економіка та суспільство, (65). https://doi.org/10.32782/2524-0072/2024-65-138
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