We test the performance of two ESG score-driven quantitative signals on a large, multi-national crosssection of European stock returns. In particular, we ask whether in the cross-section, the cost of equity capital is more strongly affected by the (upward) “slope” (identified as momentum...

Are investors willing to sacrifice wealth for social benefits? We study green bonds to empirically disentangle nonpecuniary motivations from pecuniary benefits behind socially responsible investing. We propose a new method to estimate the premium of a green bond, the so-called "greenium'', by...

Two competing hypotheses, value enhancing and value discounting, state that implementing socially responsible corporate policies can have positive or negative effects on firm value. This paper tests how a specific type of social responsibility–corporate equality–affects firm value. Corporate...

Although the environmental, social, and governance (ESG) has gained increasing attention among investors, the extent to which ESG is compensated systematically in the market remains to be investigated. On the outperformance of responsible investing (RI) which incorporates ESG into investment...

The study explores a relationship between divergence in ESG scores (measurements of a company's performance in environmental, social and governance issues) and excess stock returns on the European equity market. The sample consists of 851 European stocks in the period from January 2015 to May...

Using a sample of S&P 500 firms between 2013 and 2017, we study the impact of ESG rating disagreement on stock returns. We conjecture that for disagreement about environmental ratings, a risk-based explanation induces a positive relationship between rating disagreement and stock returns. In...

Will a high ESG rating firm suffers more stock market drawdown than a low ESG rating firm if an ESG scandal happens? We address this prediction theoretically and empirically. Using ESG scores from four mainstream rating agencies and ESG scandal data, we find higher ESG score is associated with...

We systematically investigate the links between price returns and ESG features. We propose across-validation scheme with random company-wise validation to mitigate the relative initial lackof quantity and quality of ESG data, which allows us to use most of the latest and best data toboth train...

The first Global Climate Strike on March 15, 2019 has represented a historical turn in climate activism. We investigate the cross-section of European stock price reactions to this event. Looking at a large sample of European firms, we find that the unanticipated success of this event caused a...

This paper finds that environmental, social, and governance (ESG) risks generate negative long-run stock returns. A value-weighted portfolio of firms with high ESG risks exhibits a four-factor alpha of −3.5% per year, even when controlling for other risk factors, industries, or firm...