Pricing ESG Equity Ratings and Underlying Data in Listed Real Estate Securities

Abstract

By analyzing the adoption of the European Public Real Estate Association’s (EPRA) Sustainability Best Practices Recommendations (sBPR), we examine and discuss the application of transparent environmental, social and governance (ESG) ratings and their interaction with public real estate performance across European markets. Due to increasing concerns about the environment and the impact of investment on society at large, public property companies have made significant progress in improving transparency and enhancing the protection of shareholder value by sharing and reporting ESG best practices. We explore and review the EPRA sBPR database, which is highly useful for investors who are already screening listed real estate companies. Hence, in this project, we carefully study the diffusion process of this new ESG metric as a tool to enhance informational transparency regarding public real estate investment management and assess the effects of this transparency and ESG performance for the real estate stock returns. We find evidence of a sustainability premium that investors are willing to pay to access companies with better sustainable ratings.

ESG Disclosure, REIT Debt Financing and Firm Value

“…There are only a few exceptions that provide some relevant evidence. For example, using a sample of 64 European public real estate firms from EPRA's sBPR database, Brounen et al (2021) show that ESG performance (measured by the fraction of ESG data fields that show an improvement of the years) and ESG completeness (measured by the fraction of the filed data field) are positively correlated and that investors are willing to pay a premium for firms with higher sustainable ratings. Chiang et al (2019) find that REITs disclose more CSR information when they have more investment opportunities.…”

Desempenho de Ativos Imobiliários: Perspectivas da Governança Ambiental, Social e Corporativa no Brasil

“…Conforme já pesquisado por diversos autores, a constatação de que os aspectos de ESG vêm recebendo crescente atenção não é suficiente para embasar a premissa de que sempre há uma relação positiva entre o desempenho de governança ambiental, social e corporativa (DESG) e o desempenho dos ativos no mercado de capitais para o investidor (DAI) (Brounen et al, 2021;Cajias et al, 2014).…”

Environmental, Social, Governance - Sustainability Disclosure Using International Financial Reporting Sustainability Standards S1 in Southeast Asian Companies: A Preliminary Assessment

“…Financial companies managing investment and credit have also become subject to the regulation of sustainability reporting due to the fact that the banking and finance industry usually have very robust regulation and the addition of sustainability will be easy to be implement (Buallay et al, 2021). In the property sectors, the rise of green homes or apartments and green offices also provided a catalyst for property companies to disclose their ESG activities (Brounen et al, 2021). Although not significantly different, the extractive sector's disclosure score was not as high as the finance and property sectors.…”