Capital-market effects of ESG scores: Evidence from a quasi-natural experiment

Item Type Conference or Workshop Item (Paper)
Abstract

We investigate the capital-market effects of the release of environmental, social, and governance (ESG) scores on the Bloomberg Professional Terminal. To estimate causal effects for a group of treated companies (i.e., stocks with newly available ESG scores), we exploit the unanticipated publication of Sustainalytics ESG scores vis à vis a matched control group in a difference-in-difference setting. We find a significant increase in market liquidity and abnormal returns in the treated group. The most substantial effects prevail in regions with lower ESG awareness and for companies with above-median ESG scores.

Authors Meyer, Julia; Schüpbach, Luca Maria & Utz, Sebastian
Language English
Subjects finance
HSG Classification contribution to scientific community
Date 2020
Event Title 2nd Empirical Sustainable Finance Workshop
Event Location Kassel
Event Dates 13.10.2020
Depositing User Prof. Dr. Sebastian Utz
Date Deposited 20 Oct 2020 17:13
Last Modified 20 Oct 2020 20:38
URI: https://www.alexandria.unisg.ch/publications/261232

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Citation

Meyer, Julia; Schüpbach, Luca Maria & Utz, Sebastian: Capital-market effects of ESG scores: Evidence from a quasi-natural experiment. 2020. - 2nd Empirical Sustainable Finance Workshop. - Kassel.

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https://www.alexandria.unisg.ch/id/eprint/261232
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