ESG risk exposure: a tale of two tails

被引：0

作者：

Yang, Runfeng ^{[1
]}

Caporin, Massimiliano ^{[2
]}

Jimenez-Martin, Juan-Angel ^{[3
]}

机构：

[1] Ca Foscari Univ Venice, Dept Econ, Venice, Italy

[2] Univ Padua, Dept Stat Sci, Padua, Italy

[3] Univ Complutense Madrid, Fac Ciencias Econ & Empresariales, Inst Complutense Anal Econ ICAE, Madrid, Spain

来源：

QUANTITATIVE FINANCE | 2024年 / 24卷 / 06期

关键词：

ESG; ESG risk factor; Fama/MacBeth risk factor; Quantile regression; CoVaR; Downside risk; G12; G32; C51; CORPORATE SOCIAL-RESPONSIBILITY; PERFORMANCE;

D O I：

10.1080/14697688.2024.2349016

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies the ESG impact to the downside risk of companies in the US market by introducing a novel measure, the ESG risk contribution (Delta CoESGRisk). Delta CoESGRisk is a measurement based on the co-movement between the ESG risk factor and the downside risk. When there is a sudden increase in the ESG risk factor, the downside risk of high-ESG companies is reduced. However, under extreme conditions, the downside risk of high-ESG companies could also be increased, due to the increased company volatility. The ESG impact is positively correlated with the ESG performance and size, and it varies among sectors.

引用

页码：827 / 849

页数：23

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