Articlehybrid2022

ESG, liquidity, and stock returns

186 citations0/0 files storedJournal of International Financial Markets Institutions and Money

No readable copy stored yet — this record is metadata only.

Corporate Social Responsibility Reporting Financial Markets and Investment Strategies Sustainable Finance and Green Bonds

Abstract

We examine the effect of environment, social, and governance (ESG) score on stock returns in the United Kingdom (UK). Consistent with Hong and Kacperczyk (2009), Bolton and Kacperczyk (2021), and Pedersen et al. (2021), firms with lower ESG earn higher returns than those with higher ESG. The environment and social premiums are more pronounced than the ESG premium. To understand the premium, we show that the ESG premium is significant for low liquidity securities but not for high liquidity securities, which suggests that ESG is likely associated with stock liquidity.

Citations in this library

Stored only when both papers are in the corpus — 186 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1973Risk, Return, and Equilibrium: Empirical Tests 2002Illiquidity and stock returns: cross-section and time-series effects 1987A Simple Model of Capital Market Equilibrium with Incomplete Information 1997Industry costs of equity 2003Liquidity Risk and Expected Stock Returns 2015ESG and financial performance: aggregated evidence from more than 2000 empirical studies

Cited by

2022How does ESG disclosure improve stock liquidity for enterprises — Empirical evidence from China 2022Bank reputation and operational risk: The impact of ESG 2023News-based ESG sentiment and stock price crash risk 2022Environmental, social and governance, corporate social responsibility, and stock returns: What are the short‐ and long‐Run relationships?2023ESG performance and firm value in the Chinese market 2023Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic

Imported from OpenAlex (CC0) — nothing here is generated.