practices of the financial market. As per the World Investment Report
2021, the investment in sustainability-linked products increased to $3.2
trillion in 2020, more than 80 percent compared to 2019. Further, Bloomberg
Intelligence projects that Global ESG assets will exceed $53 trillion,
accounting for more than one-third of the total projected assets under
management by the year 2025. The question that follows is ‘why the sustainable
investment has increased exponentially?’ even after the Covid-19 shocked the
market in a more drastic way than the Great Financial Crisis of 2007-08 (World
Economic Forum). Two main
theoretical foundations, i.e., degree for portfolio diversification and cost of
screening, give the basis of the difference between sustainable and
conventional investment performance. Small stocks universe does not allow
diversifying the risk and thus disbalances the risk-return trade-off Markowitz, 1952. we can diversify the
company-specific risk of the portfolio by increasing the number of stocks in
the portfolio. However, the selective approach causes a sector bias. It thus
reduces the investment opportunities Clow, 1999,
which further leads to poorer performance of sustainable portfolios by shifting
down the efficient frontier Maux and Saout 2004. Outstanding
work by researchers around the globe has been done to compare the performance
of a sustainable investment with conventional investment to invalidate the
notion that "it pays to be sustainable”. Jawa et al. (2020) integrate this volume of literature on the
performance of sustainable portfolios and find that the market turmoil
significantly increases (decreases) the probability of outperformance
(underperformance) of sustainable investment. Considering the fact, the first
objective of the study is to evaluate the performance of sustainable investment
during this pandemic period as the announcement of a global pandemic by the
World Health Organisation WHO shows a chaos in the financial markets across the
world Zhang et
al. (2020). Further, Jawa et al. (2020) analysed 35 studies with 864 experiments,
and most of these experiments belong to developed countries only. Very few
analyses have been done to analyse sustainable investment performance in
developing countries. While developing countries account for 5 % of total
sustainable assets under management UNCTAD 2021.
Therefore, the next objective of this paper is to evaluate the impact of
Covid-19 on the performance of sustainable investment from the Indian stock
market, one of the fastest-growing economies in the world. Since the inception
of Covid-19, the announcement of stringent actions taken by the government to
contain the spread of this pandemic is creating shocks in the stock market. For
example, with the announcement of complete lockdown on March 23rd, 2020, the
market benchmark S&P BSE Sensex dropped over 13 percent. Considering this
fact, this paper evaluates and compares the performance following the significant
announcements of sustainable investment with their performance in a normal
market environment and traditional investment. For this purpose, the authors
divide the whole study period into different time horizons following the
significant announcements. And then compare the performance by using different
portfolio performance measures. Finally, ranked it using the Fame Decomposition
net selectivity model. The rest of
the paper proceeds as follows: section second provides a short review of the
existing literature, and the third section of data and methodology. In Section
4, the paper presents the study's empirical findings with discussions. The
final section concludes the paper, followed by the implications of the study. 2. LITERATURE REVIEW Existing
studies have done analyses to evaluate the impact of sustainable screening on
investment performance. Among them, some studies have separately performed
experiments to measure the impact of the market downturn on sustainable
investment performance. 2.1. STUDIES PERFORMED SEPARATE ANALYSES DURING
MARKET DOWNTURN Statman
(2005) compare the returns of
S&P 500 with returns of DS 400 Index and Calvert Index for the boom of the
late 1990s and the bust of the early 2000s. Renneboog et al. (2008) performed 148 experiments, out
of which 18 experiments for the financial crisis period among 17 countries from
three regions: North America, Europe, and Asia-Pacific. They find that
screening intensity and management fees significantly impact risk-return
optimization. However, they do not find any significant underperformance during
the crisis period. All 18 experiments show the similar performance of SRI and
conventional funds. Liedeker et al. (2011) compare the performance of sustainable funds with their traditional
counterparts during the crisis and non-crisis periods and find no significant
difference among their performance. On
the other hand, Varma
& Nofsinger (2012) performed 19 experiments to compare the performance of SRI to match
conventional funds during the crisis period from the US stock market. They find
that SRI either outperforms or performs similar to conventional funds during
market crises. However, this dampening of downside risk comes at the cost of
underperformance during everyday market scenarios. Muñoz et al. (2014) and Lesser et al. (2015) also find the similar
performance of the two during the crisis period. The
findings of the analyses from other studies based on the Indian stock market
such as Tripathi
and Bhandari (2012), Tripathi
and Bhandari (2016), and Tripathi
and Kaur (2020) also support the notion that
“it does not pay to be sustainable”. 2.2. STUDIES EVALUATE THE IMPACT OF COVID-19 Ashraf
(2020) segregates the announcements
based on their positive and negative impact on the performance of stock
returns. During this pandemic period, the conventional investment negatively
relates to the statements like social distancing and lockdown. The announcements
regarding public awareness programs, testing and quarantining policies, and
income support packages give positive returns. At the same time, other studies
that analyse sustainable investment performance are very few in numbers. Folger-la Ronde et al. (2020) finds that in the period of
market turmoil, the significant sustainability performance does not safeguard
the investment from financial losses. Similarly, Sherif (2020) uses daily data over the period January
20th to May 20th and finds the severity of the pandemic negatively impacted the
performance of Dow Jones faith-based ethical (Islamic) index compared to its UK
counterpart, but not significantly. In contrast, Albuquerque
et al. (2020) show that Environmentally and
Socially (ES) screened stocks with higher ES ranking have significantly higher
returns and lower volatility during this pandemic period. Another study from
the Taiwan stock exchange finds that companies committed to corporate social
responsibility (CSR) were less affected by the outbreak; their stock prices
were relatively resistant to the fall, and they recovered faster Lee and Lu (2021). At the same time, Charles
et al. (2021) find that community-related
CSR activities support stock returns more strongly and immediately than
customer and employee-related CSR activities. Among other studies, Broadstock
et al. (2021) and Omura et
al. (2020) confirmed the outperformance
of SRI portfolios during the pandemic period. In contrast, Chiappini
et al. (2021) show that sustainable indices
from the US and Europe were negatively impacted by the pandemic but did not
show significant abnormal returns. Although
the primary studies show the positive performance of sustainable investment
during market downturns caused by financial and other crises, the latest
literature concludes mixed findings regarding the impact of pandemic over
sustainable investment performance. Besides inconclusive findings of the past
studies, they are very few. Further, we hardly find any study performed
analyses to evaluate the impact of Covid-19 on the performance of sustainable
investment based in India. 3.
OBJECTIVES OF THE STUDY The
main objective of this study is to analyse the performance of sustainable
portfolios during this pandemic period from the Indian stock market. And also,
to compare it with the performance of traditional investment. The objectives of
the study are as follow: 1.
To evaluate sustainable investment performance from the Indian stock
market during the Covid-19 pandemic. 2.
To examine the impact of stringent actions taken by the government on
the performance of the sustainable investment. To
compare the sustainable investment performance with the performance of
conventional investment during different phases followed by the government's
announcement. 4. MATERIALS AND METHODS 4.1. DATA To measure sustainable
investment performance, the authors take the S&P BSE 100 ESG and CARBONEX
as the proxies of the sustainable portfolio. S&P BSE SENSEX is used as a
market benchmark, whereas S&P BSE 500 is the proxy of conventional
investment. Daily price data of indices has been downloaded from the website of
the Bombay Stock Exchange (https://www.bseindia.com/).
In comparison, the weekly data for 91-days treasury bills as the risk-free rate
is downloaded from the website of the Reserve Bank of India (https://www.rbi.org.in/scripts/BS/). The study period spans from the launch date of the
S&P BSE 100 ESG index, October 27, 2017, to May 21, 2021, for which
risk-free data is available on the RBI website. Further, to see the impact of major announcements and the persistence in the performance, the entire sample period is divided into five sub-study periods named as pre-Covid-19 Phase, Complete Lockdown, Partial Lockdown, Complete Unlock with Restrictions, and Post Vaccination. The authors develop (N - 1) = 4 dummies for five sub-study periods and use the pre-Covid-19Phase (Normal Phase) as the benchmark category. All the information regarding the announcements like complete lockdown, guidelines of unlocks and emergency use of Covid-19 vaccine, etc. have been taken from the respective websites of newspaper and news channels detail is given in Appendix 1.
4.2. RESEARCH METHODS Log returns of the indices are calculated by using the following equation. Rp represents portfolio return, P1 is current price, and P0 is the day before price. Rp = ln(P1/P0) ……… Equation 1 Then the authors measure the significance of the difference among the average raw returns of five sub-study periods. Equation 2, i.e., regression with dummy variables for sub-study periods with “pre-covid” phase as the base category employed individually for each portfolio. Rp, t = α + Ɣ1
Complete Lockdown + Ɣ2 Partial Lockdown + Ɣ3
Complete Unlock with Restrictions + Ɣ4 Post Vaccination + ɛt OR Rp, t = α + + ɛt……… Equation 2 Where Rp, t stands for portfolio return at
time t, α represents the average returns for pre-Covid-19phase,
and is differential returns for i sub-study
periods. Di and ɛt stand for dummy categories
and idiosyncratic return, respectively. But it might ignore the
plausible interaction between return and risk (Sauer, 1997). Therefore, the
authors use Jensen's Alpha (1968), and other risk-adjusted measures as
follows. Risk-Adjusted Performance The authors used the Capital Assets Pricing Model (CAPM) to assess the portfolio performance, based on the capital asset pricing theory of Sharpe (1994), Lintner (1965), and Mossin (1966). It is implicitly assumed that a single-index model can sufficiently explain portfolio returns’ variation Ito et al. (2013). The equation is given as follow: Rp, t – Rf, t = α + β (Rm, t – Rf, t) ……………. Equation 3 where Rp,t is the return of the portfolio in time t, Rf,t stands for return on a risk-free deposit (91-day T-bills), Rm,t is return of a local equity market index (S&P BSE SENSEX), β is factor loading on the market portfolio, ɛt is idiosyncratic return, and α stands for Jensen's Alpha, risk-adjusted average abnormal return above a market benchmark introduced by Jensen (1968). In addition, to measure the significance of the
difference among the alphas for sub-study periods regarding the pre-Covid-19phase
considers as the normal scenario, the authors perform the following Equation 4 where represents
the differential Alpha for i = 1, 2, 3, 4. Rp, t – Rf, t = α + β (Rm, t – Rf, t) + …………. Equation 4 Although analysis of the exposure towards the systematic risk of a well-diversified investment Markowitz, 1952 is sufficient, it is not sufficient to measure the risk-adjusted performance of a less than well-diversified portfolio considering only systematic risk. Therefore, Sharpe ratio is more a appropriate measure which represents the excess return for each unit of total volatility Sharpe (1994). Sharpe Ratio ……………………… Equation 5 where σp is the standard deviation of returns on portfolio, Rp stands for returns on the portfolio, and Rf represents risk-free rate of return. But the difficulty in the interpretation of negative Sharpe ratio or comparison among two negative Sharpe ratios does not determine how good or bad one portfolio performance is from another. Therefore, to overcome this problem Statman (1987) and Modigliani and Modigliani (1997) introduce a modified version of the Sharpe ratio know as excess-Standard-Deviation-Adjusted-Return (eSDAR); the equation is given as follow eSDAR = ……………….. Equation 6 where and stand for the standard deviation of market benchmark and portfolio return, respectively. eSDAR is the excess return of the portfolio over the return of the market benchmark Statman (2005). The authors convert risk-free weekly percentage rate data into daily rate via the following equation Schmitz ( 2009). Rf, d and Rf, w stands for risk-free daily rate and risk-free weekly rates, respectively. Rf, d = (1 + Rf, w)1/5
– 1 Fama Model of Net Selectivity Finally,
with the help of Fama's Decomposition model, the authors ranked the performance
of the portfolios for each phase. The Fama model of net selectivity decomposes
the excess return into systematic risk premium and selectivity. Excess return
can be explained as the difference between the portfolio's total return and the
risk-free return. The systematic risk premium is that portion of the return
explained by the portfolio's beta. At the same time, the selectivity is made up
of two components, i.e., diversification (premium for unsystematic risk) and
net selectivity. The net selectivity measures the premium that comes from
including a particular stock in the portfolio. So, the equation of Fama's net
selectivity model can be defined as: Net Selectivity Premium = Rp – [Rf +
βp (Rm – Rf) + [{Rf +(Rm
– Rf)} – {Rf + βp
(Rm – Rf)}] Now, if there is no difference among the returns of security market line and capital market line then the premium for unsystematic risk would be zero, which means the portfolio is fully diversified and premium for net selectivity would be: Net Selectivity Premium = Rp – [Rf +
βp (Rm – Rf)] If not, then the premium for net selectivity would be as: Net Selectivity Premium = Rp – [Rf + ((Rm – Rf)] 5. RESULTS AND DISCUSSIONS Performance Outcomes
Table 2 shows regression output and compares the portfolio's average return for the ‘pre-Covid’ phase (normal phase) with other Covid phases. Findings show sustainable, as well as conventional portfolios, give negative average returns for normal periods. Consequently, sustainable investors would bear less loss than traditional investors during a normal market scenario. The differential return is consistently higher for corresponding phases than the respective ‘pre-Covid-19phase’ for each portfolio. Moreover, returns for the period of ‘complete lockdown’ and ‘complete unlock with restrictions’ are significantly better than their returns in the normal period. Compared to conventional portfolio sustainable investment, giving lower differential average returns during the ‘post-vaccination phase’. Rationally it is important to consider the risk while comparing the performance of two investments. Thus, the authors analyse the performance while considering the systematic risk and total risk of the portfolios. Outcomes
of Table 3 and Table 4 give the estimated alpha for
the CAPM single factor model while Equation 3 and Equation 4 run respectively on the
portfolios.
Table 3 shows the estimation for the
whole sample period; the corresponding t-statistic value is given in
parentheses for each parameter. Findings indicate that the ESG index
outperforms the market for the entire sample period while CARBONEX and BSE 500
underperform the market, but not significantly. One of the primary objectives
of the study is to compare the performance of sustainable investment and
conventional investment. The results for ‘difference portfolios’ show that both
sustainable portfolios significantly underperform their conventional peers.
Considering
the market benchmark, the findings of Table 4 show significant
underperformance of CARBONEX and BSE 500 during the ‘pre-Covid’ phase (normal
phase). Further, for the period of the ‘complete lockdown’ and
‘post-vaccination’ phases, both conventional and sustainable investment
significantly outperform the market benchmark. Compared to traditional
investments, sustainable portfolios show significant underperformance during
the ‘pre-Covid-19phase’, indicating that sustainable portfolios pay a premium
for being sustainable during normal market conditions Varma and Nofsinger (2012). Although, sustainable
portfolios outperform their conventional peers for the phase of complete
lockdown (Varma & Nofsinger, 2012 and Tripathi
and Bhandari (2016). Then, the underperformance
of sustainable portfolios reappears in the following phases. However, this
out-or-underperformance is not significant Varma and Nofsinger (2012).
Outcomes of Sharpe ratio in Table 5 show that excess returns of the ESG index for taking each unit of real risk are better than the BSE 500, and the market benchmark for each phase except the phase of ‘complete unlock with restriction’. The ESG index gives a 9.6% return for each unit of total volatility compared to BSE 500 and Sensex, giving 8.9% return and 7.4% return respectively for the phase of a complete shutdown of economic activities. Taking the positive performance during a market downturn, the investors could divert their investment towards sustainable financial instruments to pressure firms to be sustainable. Further, it could be seen that in the following two phases, the phase of ‘partial lockdown’ and the phase of ‘complete unlock with restrictions,’ the performance of sustainable investment has been improved. Although, during the ‘post-vaccination phase,’ per unit return started to decline but not as bad as per unit return in the ‘pre-Covid-19phase’ and per unit return of the market benchmark for the same phase. It
is difficult to interpret and compare the negative Sharpe ratios during the
‘pre-covid’ phase. Therefore, the authors measure eSDAR for the returns of the
portfolios. The eSDAR shows excess returns of respective portfolios over market
benchmark SENSEX.
As
Table 6 shows, during the ‘pre-Covid’
phase, both sustainable and conventional portfolios give less return than the
market. However, after the announcement of complete lockdown, ESG and CARBON EX
are giving 11.8% and 8.8% excess returns over the return of SENSEX. Which is
better than the excess return of the BSE 500 over the market benchmark for the
same phase. Although the returns of sustainable portfolios fall during the
‘unlock phase’ worse than the return of conventional peers, they rise again
during the ‘post-vaccination phase’ slightly lower than the traditional
benchmark. Selectivity Based Ranking
Table 7 shows the outcomes for Fama’s model of net selectivity. The authors mark the rank of each portfolio based on their absolute performance after adjusting for systematic and unsystematic risk during the overall study period and each phase. ESG index is the top ranker for the entire study period, which gives 0.2% return, whereas CARBONE and BSE 500 give -1.0% and -1.1% return, respectively. Then
absolute returns after adjusting for systematic and unsystematic risk are
harmful to the ‘pre-covid’ phase. But still, sustainable portfolios perform
better than their conventional peers in terms of net selectivity. For the
following Covid phases, either CARBONEX index or ESG index performs better than
the BSE 500 except for ‘complete unlock’ and ‘post-vaccination’ phases. During
these phases, the BSE 500 gives a higher net selectivity premium than sustainable
portfolios. 6.
DISCUSSION Our findings show that sustainable portfolios are giving higher average annual returns as well as higher risk adjusted returns as compared to the returns on traditional portfolios. This is a positive indication for the investors to move their investment from traditional to sustainable. However, analyses based on sub-study periods show that sustainable investment gives negative average annual returns during normal phases. Whereas their returns are significantly better for the phases of ‘complete lockdown’ and ‘complete unlock with restrictions’ as compared to the normal phase. In addition, during the phase of ‘complete lockdown’, the risk-adjusted returns on sustainable portfolios are higher compared to the market benchmark and that on the conventional portfolios. The investment managers should take into consideration such results while making their investment decisions. In contrast to the notion “it pays to be sustainable”, ESG index earns positive abnormal return for the overall study period. During the phase of “complete lockdown”, sustainable portfolios show significant positive alpha, and they are performing similar to their conventional counterparts. Our findings suggest that the costs borne by the investors to screen investment opportunities over sustainable criteria are rewarding when hardly any economic activity was allowed. The phase-wise outcomes for the single factor model confirm the finding of Jawa et al. (2020) that the market turmoil significantly increases (decreases) the possibility of outperformance (underperformance) of sustainable investment. 7. CONCLUSIONS AND RECOMMENDATIONS Recent reports from prominent
data management organisations show a significant increase in the fund linked to
sustainable investment. Moreover, different organisations around the globe
spread awareness about sustainable investment. But existing literature shows
poor performance of sustainable investment except for the period of market
crises. The reason could be that the companies' characteristics, such as sustainable
policies and good corporate governance, provide them a shield against risky
market environments. Considering this fact, it is vital to analyse the
performance of sustainable portfolios during this pandemic period. After the
announcement of the global pandemic, stock markets around the world start to
tumble. Therefore, the study analyses the performance of socially sustainable
portfolios, i.e., ESG index and CARBONEX index, and compares their performance
to the conventional benchmark BSE 500. Daily price data of indices are used for
analyses. The entire study period is further divided into five different phases
according to the major announcement made by the country's government to compare
the performance among these phases. Overall Study Period: for the entire study period ESG index and CARBONEX index give 1.67% and 1.1% returns for taking each unit of total risk. While the conventional portfolio is giving only1% return for each unit of total volatility. The authors find that the ESG index insignificantly outperforms the market and earns 0.2% abnormal return. CARBONEX as well as the BSE 500 underperformed the market, but not significantly. Further, the “difference portfolios” show that both sustainable portfolios significantly underperform their conventional peers. Finally, the ESG index gives a positive return after adjusting for systematic as well as unsystematic risk. Pre-Covid-19 Phase: the
authors take this period as a normal phase during which CARBONEX significantly
underperforms the market benchmark as well as their conventional counterpart.
Both sustainable and conventional portfolios give a negative average return.
However, the risk-adjusted performance of sustainable portfolios is better as
compared to conventional portfolios. Further, they are top performers for this
phase while comparing their performance with their conventional peers. Complete Lockdown: After
complete restraint of economic activities, the sustainable indices give
significantly better average returns than everyday scenarios. Further, the ESG
index CARBONEX significantly outperformed the market benchmark and earned 11.7%
and 8.8% extra returns, respectively, from SENSEX. While adjusting their
returns for total volatility, they give a higher per-unit return compared to
the return of conventional and market indices. Furthermore, after adjusting for
systematic and unsystematic risk, the positive returns make the CARBONEX index
the top performer for this phase. Partial Lockdown: Sustainable index ESG gives a higher differential return while comparing to the normal phase. The ESG index gives a 7% net selectivity premium which is far better than other portfolios. It also beats the market and performs similarly to its conventional counterparts. In addition, ESG indexes give a higher return for taking each unit of total volatility compared to other portfolios. Complete Unlock with Restrictions: the announcement of unlocking revives the economy. Both conventional and sustainable portfolios give significantly better returns than their respective returns in the normal phase. The underperformance of sustainable portfolios recurs in respect to a conventional benchmark. They are providing better returns for each unit of volatility but not as much as traditional and market benchmarks. The traditional portfolio is the top performer for this phase. Post-Vaccination Phase: Now, this phase is important because the government
has announced the emergency use of the vaccine of Covid-19. For this phase,
although the sustainable portfolios significantly outperform the market
benchmark, their underperformance reoccurs with their conventional peer, but
not considerably. Further, their raw, as well as risk-adjusted returns, are
both lower as compared to the conventional benchmark. Again, the conventional
portfolios perform better after adjusting their returns for systematic and
unsystematic risk. 8.
LIMITATIONS There
are also a few limitations. Firstly, the authors only use a single-factor
model. However, it is vital to evaluate the exposure of sustainable investment
towards value and growth stocks during this pandemic. Secondly, the analysis is
confined only to the sustainable indices based on the Indian stock market,
which is one of the major drawbacks of this study. Sustainable indices from
other countries could also be included to make a comparative analysis. Future
studies could also analyse the impact of variations in the confirmed cases of
Covid-19 on the performance of a sustainable investment. Also, the outcomes of
this study could further be modified by increasing the span of the study period
as Covid-19 is still ongoing. 9.
POLICY
IMPLICATIONS The impact of the Covid-19 on the performance of sustainable investment is an emerging issue as the sustainable investment has increased exponentially during this pandemic period. This study contributes to the understanding of performance of sustainable investment during the pandemic in the Indian stock market. It is generally assumed that transition from conventional investment to sustainable investment could cost the investors. In contrast, the findings of this study indicate that the sustainable investments have benefited the investors over and above their conventional counterparts at least during the lockdown phases. Individual investors, policymakers, and portfolio managers can use the findings of this study to make future decisions wisely by including the sustainable financial instruments at the time of market downturn. 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