Capital-market effects of ESG scores: Evidence from a quasi-natural experiment
Type
conference paper
Date Issued
2020
Author(s)
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.
Language
English
HSG Classification
contribution to scientific community
Event Title
2nd Empirical Sustainable Finance Workshop
Event Location
Kassel
Event Date
13.10.2020
Subject(s)
Division(s)
Eprints ID
261232
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Name
SSRN-id3683100.pdf
Size
401.49 KB
Format
Adobe PDF
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