MSCI지수를 이용한 사회책임투자 성과 평가
Performance Evaluation of Social Responsibility Investment using MSCI Indexes
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초록
사회책임투자는 기업의 재무적 성과와 함께 기업의 지속가능성에 영향을 주는 환경, 사회, 지배구조 등 비재무적 요소를 동시에 고려하는 투자이다. MSCI 세계 시장지수와 사회책임투자지수의 성과 차이, 미국, 유럽, 일본을 대상으로 MSCI 시장지수와 사회책임투자지수의 성과 차이를 분석한 결과 시장지수 수익률과 사회책임투자지수 수익률 간에 통계적으로 유의한 차이는 없는 것으로 나타났다. 한편, MSCI 미국 사회책임지수, 유럽 사회책임지수, 일본 사회책임지수를 기초자산으로 하여 포트폴리오를 구성한 경우에는 MSCI 미국 시장지수, 유럽 시장지수, 일본 시장지수를 추가하면 기존 포트폴리오가 확장될 수 있는 것으로 나타났다. 이러한 결과는 기존 시장지수를 이용하여 포트폴리오를 형성하고 있는 투자자가 사회책임지수를 이용하여 포트폴리오를 형성하는 것으로 기준을 변경할 경우 투자의 효율성이 저하될 가능성이 있음을 시사한다.
Abstract
This study examines the performance of social responsibility investment using MSCI market and SRI indexes. When the returns of MSCI world and three major local market indexes (U.S., Europe, and Japan) are compared with those of corresponding SRI indexes using Fama-French factors, there are no significant differences between them. However, we find that a portfolio from three major local SRI indexes cannot span three major local market indexes. The result of the mean-variance spanning test indicates that the portfolio by social responsible indexes may be inferior in performance to the portfolio by market indexes.
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