Pasquini-Descomps, Hélène; Sahut, Jean-Michel - Institut de Préparation à l'Administration et à la … - 2014
This study investigates how news-based scores in Environmental, Social and Corporate governance (ESG)will influence the monthly market return in the Swiss, US and UK stock markets. We are using a four-factor based linear model following during the 2007-2011 period, as well as a non-parametric...