ESG controversy as a potential asset-pricing factor

被引：31

作者：

Bang, Jeongseok ^{[1
]}

Ryu, Doojin ^{[1
,4
]}

Webb, Robert I. ^{[2
,3
]}

机构：

[1] Sungkyunkwan Univ, Dept Econ, Seoul, South Korea

[2] Univ Virginia, McIntire Sch Commerce, Charlottesville, VA USA

[3] Sungkyunkwan Univ, SKKU Global Finance Res Ctr, Seoul, South Korea

[4] Sungkyunkwan Univ, Dept Econ, 25-2 Sungkyunkwan Ro,Jongno Gu, Seoul 03063, South Korea

来源：

FINANCE RESEARCH LETTERS | 2023年 / 58卷

关键词：

Asset pricing; ESG; ESG controversy; Risk factor; Risk premium; RESPONSIBILITY; ANOMALIES;

D O I：

10.1016/j.frl.2023.104315

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine whether ESG and ESG controversy scores are pricing factors that systemically affect the risk-return relationship of stocks. We test their additional explanatory power after controlling for other well-known risk factors. ESG controversy risk factor explains the cross-section of stock market returns. Investors exposed to ESG controversies demand a risk premium whereas ESG risk is regarded as idiosyncratic.

引用

页数：7

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