ESG Rating이 주식형 펀드의 ESG 투자 효율성에 미치는 영향

This research aims to analyze the investment efficiency of ESG (Environmental, Social, Governance) in equity funds during the period from 2018 to 2022. The output variables include annual returns, Jensen's alpha, and the Sharpe ratio of equity ESG funds. Input variables comprise the average ESG scores of the top 30 companies within the funds' portfolios. Data Envelopment Analysis (DEA) is conducted in two stages: initially using the overall ESG score and subsequently using Environment (E), Social (S), and Governance (G) scores as separate inputs. The CCR and BCC models are employed for initial efficiency assessments, with the super-efficiency CCR model re-evaluating and ranking Decision Making Units (DMUs) that demonstrate the 100% efficiency. The study focuses on domestic equity funds classified under ESG, excluding any that were newly established or terminated within the study period, or that had missing data for returns, Sharpe ratio, or Jensen's alpha. Key findings are as follows: Equity funds exhibit varied ESG investment efficiency, which depends on their specific Environment, Social, and Governance components. ESG investments in these funds were found to be higher than market expectations, providing valuable insights for formulating ESG investment strategy in equity funds.