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Is Corporate Social...
Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis
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- Lööf, Hans (författare)
- Royal Institute of Technology
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- Sahamkhadam, Maziar (författare)
- Linnaeus University
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- Stephan, Andreas, 1968- (författare)
- Jönköping University,IHH, Nationalekonomi, Finansiering och Statistik,IHH, Centre for Entrepreneurship and Spatial Economics (CEnSE),The Royal Institute of Technology, Centre of Excellence for Science and Innovation Studies (CESIS)
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(creator_code:org_t)
- 2021
- Engelska.
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Serie: CESIS Electronic Working Paper Series ; 488
- Relaterad länk:
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https://swopec.hhs.s...
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visa fler...
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https://urn.kb.se/re...
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Abstract
Ämnesord
Stäng
- Did Corporate Social Responsibility investing benefit shareholders during the COVID-19 pandemic crisis? Distinguishing between downside tail risk and upside reward potential of stock returns, we provide evidence from 5,073 stocks listed on stock markets in ten countries. The findings suggests that better ESG ratings are associated with lower downside risk, but also with lower upside return potential. Thus, ESG ratings help investors to reduce their risk exposure to the market turmoil caused by the pandemic, while maintaining the fundamental trade-off between risk and reward.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- ESG; COVID 19; downside risk; upside potential; Sustainalytics; financial markets
Publikations- och innehållstyp
- vet (ämneskategori)
- rap (ämneskategori)