The world's single largest stockowner, Norway's sovereign wealth fund, makes ESG announcements about the products or conduct of its invested firms. The announcements regard divesting from firms or placing them on a watch-list based on the fund's ethical guidelines. We analyze market reactions to...

Using a unique database this study establishes a relationship between firm-specific investor sentiment and stock price movements around earnings announcements. We find that firm-specific investor sentiment is a key determinant of price adjustment in the context of an earnings surprise....

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...

Purpose Utilising a database that distinctly classifies firm-level ESG (environmental, social and governance) news sentiment as positive or negative, the authors examine the information flow between the two types of ESG news sentiment and stock returns for 20 companies listed on the Johannesburg...

Green bonds fulfil market demand for debt securities and broaden the extent of proceeds used to fund climate-related initiatives. We explore equity market reactions to green bond announcements and the potential for ‘green’ investing behaviours to be anticipated. We advance investment...

We exploit a modification to Sustainalytics' environmental, social, and governance (ESG) rating methodology, which is subsequently adopted by Morningstar, to study whether ESG ratings are salient for stock pricing. We show that the inversion of the rating scale but not new information leads some...

We aim to explore the interplay between ESG scores and assets characteristics, specifically focusing on volatility. We classify stocks on the basis of both high/low ESG and high/low ESG momentum and we evaluate ESG effects by measuring the distance between the 2 group distributions. The analysis...

We study whether ESG ratings can predict stock returns in China. We find marginal evidence that stocks with higher ESG ratings have lower future returns. In addition, we explore the cross-sectional and time-series heterogeneities of the relationship between ESG and stock returns. We find the...

In this paper, we examine in a systematic manner how investors react to the sentiment of instant ESG news. Instead of acquiring proprietary ESG news or events datasets directly from specific ESG data providers, we extract fresh ESG news directly from a plethora of raw news articles. We showcase...

Using long-standing models for expected returns of US equities, we show that firm environmental ratings interact with those forecasted returns and produce excess returns both unconditionally and conditionally. Well-known factor models subsume neither environmental-related return differentials...