ESG 주식형 ETF 성과분석: Alpha가 존재 하는가?

This paper examines whether ESG equity ETFs achieve excess returns, with performance evaluation of ESG equity ETFs. In other words, we verify whether ESG equity ETFs listed on the exchange from August 2017, when ESG equity ETF was first introduced in Korea, to December 2021, had excess returns, alpha, with the CAPM, the Fama-French three-factor model, and the Carhart four-factor model. The performance is analyzed in time series and cross-section, and the explanatory power of the market, size, value, and momentum risk premium for ESG equity ETF returns is also verified. As a result of the analysis, ESG equity ETFs are found not to attain excess returns in any model. Out of the seven ETFs, fives record positive (+) excess returns and two negative (-) excess returns, but none are statistically significant. Rather, the cross-sectional analysis, with the sensitivity to the market risk premium controlled, shows a statistically negative (-) excess return. However, the more recently ETFs are launched, the higher the excess returns are achieved, indicating that the performance of ESG equity ETFs is improving. There are limitations of this research, such as short-term data and small samples due to the short history of ESG equity ETFs, and lack of information on components of portfolios and detailed investment strategies. However, it is meaningful in that the performance was not analyzed by the ESG grades of individual companies, which is questioned about reliability, but through a portfolio composed of companies engaged in ESG activities.