Publication type: Working paper – expertise – study
Title: Capital-market effects of ESG scores : evidence from a quasi-natural experiment
Authors: Meyer, Julia
Schüpbach, Luca Maria
Utz, Sebastian
et. al: No
DOI: 10.2139/ssrn.3683100
Extent: 61
Issue Date: 2020
Publisher / Ed. Institution: SSRN
Language: English
Subjects: ESG information; Capital-market effect; Difference- in-differences; Event study; Stock market reaction
Subject (DDC): 332: Financial economics
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.
License (according to publishing contract): Licence according to publishing contract
Departement: School of Management and Law
Organisational Unit: Institute for Financial Management (IFI)
Appears in collections:Publikationen School of Management and Law

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