ESG investing in good and bad times: An international study

被引：9

作者：

Long, Huaigang ^{[1
,2
]}

Chiah, Mardy ^{[3
]}

Cakici, Nusret ^{[4
]}

Zaremba, Adam ^{[5
,6
,7
]}

Bilgin, Mehmet Huseyin ^{[8
]}

机构：

[1] Zhejiang Univ Finance & Econ, Sch Finance, 18 Xueyuan St, Hangzhou 310018, Zhejiang, Peoples R China

[2] Zhejiang Univ Finance & Econ, New Type Key Think Tank Zhejiang Prov, China Res Inst Regulat & Publ Policy, Hangzhou 310018, Zhejiang, Peoples R China

[3] Univ Newcastle, Newcastle Business Sch, Callaghan, NSW, Australia

[4] Fordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USA

[5] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier 4, France

[6] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, Al Niepodleglosci 10, PL-61875 Poznan, Poland

[7] Univ Cape Town, Fac Commerce, Dept Finance & Tax, Cape Town, South Africa

[8] Istanbul Medeniyet Univ, Fac Polit Sci, Istanbul, Turkiye

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2024年 / 91卷

基金：

中国国家自然科学基金;

关键词：

Socially responsible investing; Environmental; social; and governance ratings; ESG strategies; International stock markets; Conditional returns; Economic states; Return predictability; CONSUMER CONFIDENCE; CROSS-SECTION; STOCK RETURNS; MOMENTUM; RISK; PERFORMANCE; SIZE;

D O I：

10.1016/j.intfin.2023.101916

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

If the demand for socially responsible stocks depends on aggregate wealth, their returns may rise when the economy is booming and fall when it is struggling. Motivated by the consistent evidence from the United States, we revisit this effect internationally. Using data from 45 markets, we examine how the economic conditions affect environmental, social, and governance (ESG) strategies. We find that high-rated ESG firms fail to outperform their low-rated counterparts in good and bad times alike. The abnormal returns on ESG strategies do not reliably differ across economic states. Previous contrasting evidence does not generalize internationally and is likely sample- and period-specific.

引用

页数：20

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