Horn, Matthias - In: Schmalenbach Journal of Business Research (SBUR) 75 (2023) 3, pp. 415-442
This study analyzes whether stocks of companies with environmental social governance (ESG) rating show lower idiosyncratic risk. The main analysis covers 898,757 company-month observations of US stocks in the period from 1991 to 2018 and controls for stocks' exposure to liquidity, mispricing,...