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...

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...

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...

Corporate climate disclosures based on the TCFD recommendations are considered an important prerequisite to managing climate-related financial risks. At the same time, current disclosures are imprecise, inaccurate, and greenwashing-prone. Yet, existing research on this matter suffers from small...

Corporate climate disclosures are considered an essential prerequisite to managing climate-related financial risks. At the same time, current disclosures are imprecise, inaccurate, and greenwashing-prone. We introduce a deep learning approach to enable comprehensive climate disclosure analyses...

This paper introduces a novel approach to enhance Large Language Models (LLMs) with expert knowledge to automate the analysis of corporate sustainability reports by benchmarking them against the Task Force for Climate-Related Financial Disclosures (TCFD) recommendations. Corporate sustainability...