|Publication type:||Working paper – expertise – study|
|Title:||Capital-market effects of ESG scores : evidence from a quasi-natural experiment|
Schüpbach, Luca Maria
|Publisher / Ed. Institution:||SSRN|
|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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