Глубинное изучение влияния ESG-показателей на стоимость компаний на примере рынка Индонезии: взгляд моделей ИИ
Аннотация
В работе проанализировано воздействие широкого спектра глубинных компонент ESG (отдельных ESG-практик) на стоимость компаний, измеряемую коэффициентом Q-Тобина. Эмпирические оценки показаны на выборке публичных компаний развивающегося рынка капитала Индонезии, в период с 2018 г. по 2023 г. Мы применили оригинальный авторский подход, в котором на первом этапе строятся модели машинного обучения, позволяющие выявить ключевые детерминанты рыночной стоимости компаний, а на втором этапе применяется объяснительный ИИ (вектора Шепли) для ранжирования по силе и выявления направления влияния этих детерминант. Нами построены и сопоставлены по метрике качества RMSE ряд моделей машинного обучения: регрессия лассо (lasso), регрессия ридж (ridge), дерево решений, случайный лес, регрессия CatBoost, градиентный бустинг, экстремальный градиентный бустинг, многослойный персептрон, бэггинг-регрессор (ансамблевая модель). Лучшей моделью признан СatBoostRegressor.
Результаты расчетов показали, что наиболее высока сила влияния на стоимость компаний Индонезии у следующих ESG-показателей: разнообразие состава совета директоров, управление качеством продукции и качество менеджмента в области расходования воды. Направление влияния этих показателей на стоимость компаний положительно, как и предполагалось. В то же время мы получили ряд неожиданных выводов относительно отрицательного влияния таких показателей, как интегральный показатель социальной ответственности, показатель принятия мер, снижающих неблагоприятное воздействие на климат, качество менеджмента в области утилизации отходов и качество системы аудита. Подтвердилась гипотеза о том, что на развивающемся рынке показатели ESG играют меньшую роль во влиянии на стоимость компании по сравнению с фундаментальными показателями. Не подтвердилась гипотеза о том, что экологическая ответственность играет большую роль в формировании стоимости компании по сравнению с социальной ответственностью.
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