momentum factors according to Carhart (1997). These risk factors from the four-factor model allow us to estimate more reliable … risk-adjusted returns than in the restrictive one-factor model based on the Capital Asset Pricing Model. In both the US and … to insignificant abnormal returns when all four risk factors are considered so that we find no evidence that SRI is …

stock price crash risk. A stock price crash is a dreadful event for market participants. Thus, exploring stock price crash … determinants is helpful for investment decisions and risk management. In this study, we use samples of major market index … findings suggest that ESG disclosures lower future stock price crash risk; however, the effect and predictive power of ESG …