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ESG Preference, Institutional Trading, and Stock Return Patterns
16 references·7 citing·34 second hopsampled
ESG Preference, Institutional Trading, and Stock Return Patterns (2019)ESG Preference, Institutional Trading, an…Why Do Investors Hold Socially Responsible Mutual Funds? (2017)Why Do Investors Hold Sociall…Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2017)Social Capital, Trust, and Fi…Does Corporate Social Responsibility Lead to Superior Financial Performance? A Regression Discontinuity Approach (2015)Does Corporate Social Respons…Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Arbitrage Asymmetry and the I…Financial Intermediaries and the Cross‐Section of Asset Returns (2014)Financial Intermediaries and …The price of sin: The effects of social norms on markets (2009)The price of sin: The effects…Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Driven to Distraction: Extran…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Short sales, institutional investors and the cross-section of stock returns (2005)Short sales, institutional in…Shareholder investment horizons and the market for corporate control (2004)Shareholder investment horizo…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Home Bias at Home: Local Equi…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Limits of Arbitrage (1995)The Limits of ArbitrageCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The European green deal, retail investors and sustainable investments: A perspective article covering economic, behavioral, and regulatory insights (2024)The European green deal, reta…Standing Out from the Crowd via CSR Engagement: Evidence from Non-Fundamental-Driven Price Pressure (2023)Standing Out from the Crowd v…How Can Green Energy Technology Innovations Improve the Carbon-Related Environmental Dimension of ESG Rating? (2023)How Can Green Energy Technolo…Fund flows and performance: New evidence from retail and institutional SRI mutual funds (2023)Fund flows and performance: N…Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices (2022)Price effects after one-day a…The sustainability trap: Active fund managers between ESG investing and fund overpricing (2021)The sustainability trap: Acti…THE EFFECTS OF ENVIRONMENT, SOCIETY AND GOVERNANCE SCORES ON INVESTMENT RETURNS AND STOCK MARKET VOLATILITY (2020)THE EFFECTS OF ENVIRONMENT, S…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Increasing Returns and Economic Geography (1990)Investor Psychology and Asset Pricing (2001)Does Distance Still Matter? The Information Revolution in Small Business Lending (2002)Information and the Cost of Capital (2004)Social Capital in the Creation of Human Capital (1988)Bowling alone (2000)Do institutional investors drive corporate social responsibility? International evidence (2018)Firms and social responsibility: A review of ESG and CSR research in corporate finance (2021)Aggregate Confusion: The Divergence of ESG Ratings (2022)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Do Investors Care about Carbon Risk? (2019)Sustainable investing in equilibrium (2020)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Firm Resources and Sustained Competitive Advantage (1991)Firm resources and sustained competitive advantage (2004)Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence (2018)Responsible Investing: The ESG-Efficient Frontier (2019)Corporate green bonds (2021)Multifactor Explanations of Asset Pricing Anomalies (1996)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2017Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis3,754 cited
  • 1999Home Bias at Home: Local Equity Preference in Domestic Portfolios2,898 cited
  • 2009The price of sin: The effects of social norms on markets2,600 cited
  • 2015Does Corporate Social Responsibility Lead to Superior Financial Performance? A Regression Discontinuity Approach1,941 cited
  • 2009Driven to Distraction: Extraneous Events and Underreaction to Earnings News1,539 cited
  • 2017Why Do Investors Hold Socially Responsible Mutual Funds?1,378 cited
  • 2004Shareholder investment horizons and the market for corporate control1,271 cited
  • 2005Short sales, institutional investors and the cross-section of stock returns1,186 cited
  • 2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

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944 cited
  • 2014Financial Intermediaries and the Cross‐Section of Asset Returns847 cited
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    • 2020THE EFFECTS OF ENVIRONMENT, SOCIETY AND GOVERNANCE SCORES ON INVESTMENT RETURNS AND STOCK MARKET VOLATILITY45 cited
    • 2022Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices37 cited
    • 2024The European green deal, retail investors and sustainable investments: A perspective article covering economic, behavioral, and regulatory insights35 cited
    • 2023Standing Out from the Crowd via CSR Engagement: Evidence from Non-Fundamental-Driven Price Pressure32 cited
    • 2021The sustainability trap: Active fund managers between ESG investing and fund overpricing28 cited
    • 2023How Can Green Energy Technology Innovations Improve the Carbon-Related Environmental Dimension of ESG Rating?26 cited
    • 2023Fund flows and performance: New evidence from retail and institutional SRI mutual funds22 cited