The rising sustainability awareness among regulators, consumers and investors results in major sustainability risks for firms. We construct three ESG risk factors (Environmental, Social, and Governance) to quantify the ESG risk exposures of firms. Taking these factors into account significantly...

Index providers increasingly offer sustainable stock indices based on ESG (Environmental, Social, and Governance) ratings of firms. The performance of such indices with ESG tilts is driven by the impact of the applied weighting methodology and by the ESG firm ratings. In this paper, we focus on...

A convenient way to apply Fama/French factor models in empirical research is to use factor returns downloaded from databases like Kenneth French's data library. These factors are usually provided in US dollars – for both US and non-US stock markets. But when evaluating non-US data samples from...

This paper examines the effect of Environmental-, Social- and Governance- (ESG) rating events on returns and risks of stocks based on a large sample of US firms and their MSCI ESG ratings. Using event study methodology, we find that markets react with significant negative abnormal returns to...

We investigate the implications of environmental, social and governance (ESG) practices of firms for the pricing of credit default swaps (CDS). Our evidence indicates that higher ESG ratings mitigate credit risks of U.S. and European firms from 2007 to 2019. The risk mitigation effect is...