2444. Global nonparametric diversified frontier-based efficiency measures and Luenberger productivity indices of ESG funds
Invited abstract in session WC-60: DEA applications in Banking and Finance, stream Data Envelopment Analysis and its applications.
Wednesday, 12:30-14:00Room: Western LT
Authors (first author is the speaker)
| 1. | Tiantian REN
|
| Finance, Xiangtan University | |
| 2. | Helu XIAO
|
| Finance, Hunan Normal University | |
| 3. | Zhongbao ZHOU
|
| Management Science and Engineering, Hunan University |
Abstract
This paper combines both financial and non-financial indicators of ESG funds to construct diversified frontier-based contemporaneous and nonconvex global portfolio possibility sets, and proposes contemporaneous and nonconvex global efficiency measures for ESG funds. On these bases, the nonconvex global Luenberger productivity indices (GLPIs) are developed correspondingly. We further present an additive decomposition and analyze the full decomposition of the ESG fund efficiency measures and GLPIs. This framework allows to distinguish between overall efficiency (OE), portfolio efficiency (PE), and allocative efficiency (AE) of ESG funds as well as OE-, PE- and AE-based GLPIs within both contemporaneous and global technology settings. Utilizing the unbalanced panel data of China's ESG funds during 2018-2023, we examine the dynamic evolution of ESG fund efficiencies and GLPIs as well as their decompositions, and explore the impact of non-financial indicators on these measures.
Keywords
- Data Envelopment Analysis
- Efficiency Analysis
- Finance and Banking
Status: accepted
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