Publication type: Conference paper
Type of review: Peer review (publication)
Title: Sustainability in the time of uncertainty
Authors: Meyer, Julia
Mahmoud, Ola
et. al: No
Conference details: Global Research Alliance for Sustainble Finance and Investment, 3rd Annual Conference, Columbia University, USA, 8-11 September 2020
Issue Date: 2020
Language: English
Subject (DDC): 332: Financial economics
Abstract: We present evidence that sustainability ratings reflect stock-inherent uncertainty. Sustainability scores are econometrically decomposed into three orthogonal components capturing uncertainty, investor sentiment, as well as an idiosyncratic sustainability factor. Examining the shock of the COVID-19 pandemic, we show that the resilience of sustainable stocks during the crash is principally driven through the uncertainty channel. Experimental evidence on investor preferences for sustainability supports the premise that sustainability is valued during the crash. The results shed light on the type of market information encoded in sustainability and the resulting impact on resilience in times of uncertainty.
Fulltext version: Published version
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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