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Do ESG Ratings Reduce the Asymmetry Behavior in Volatility?
16 references·0 citing·33 second hopsampled
Do ESG Ratings Reduce the Asymmetry Behavior in Volatility? (2022)Do ESG Ratings Reduce the Asymmetry Behav…Do Investors Care about Carbon Risk? (2019)Do Investors Care about Carbo…ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)ESG and financial performance…The Effects of Corporate Social Responsibility on Brand Performance: The Mediating Effect of Industrial Brand Equity and Corporate Reputation (2010)The Effects of Corporate Soci…Liquidity and leverage (2008)Liquidity and leverageAsymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…No news is good news (1992)No news is good newsSome Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Some Tests of Specification f…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators * (1987)PRACTITIONERS’ CORNER: Comput…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Estimation of Dynamic Models with Error Components (1981)Estimation of Dynamic Models …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Specification Tests in Econometrics (1978)Formulation and estimation of dynamic models using panel data (1982)Estimating Vector Autoregressions with Panel Data (1988)Another look at the instrumental variable estimation of error-components models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)Econometric Analysis of Cross Section and Panel Data (2001)Pooling Cross Section and Time Series Data in the Estimation of a Dynamic Model: The Demand for Natural Gas (1966)The Use of Error Components Models in Combining Cross Section with Time Series Data (1969)On the Pooling of Time Series and Cross Section Data (1978)Initial conditions and moment restrictions in dynamic panel data models (1995)A power primer. (1992)G*Power 3: A flexible statistical power analysis program for the social, behavioral, and biomedical sciences (2007)The Influence of Firm Size on the ESG Score: Corporate Sustainability Ratings Under Review (2019)Firms and social responsibility: A review of ESG and CSR research in corporate finance (2021)Impact of ESG performance on firm value and profitability (2022)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Market Liquidity and Funding Liquidity (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)CoVaR (2016)Risk, Return, and Equilibrium: Empirical Tests (1973)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)The Importance of Climate Risks for Institutional Investors (2019)Sustainable investing in equilibrium (2020)Multivariate Simultaneous Generalized ARCH (1995)
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References

  • 1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations33,662 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 2015ESG and financial performance: aggregated evidence from more than 2000 empirical studies5,503 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 2019Do Investors Care about Carbon Risk?3,593 cited
  • 1993A long memory property of stock market returns and a new model3,282 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2008Liquidity and leverage2,557 cited
  • 1981Estimation of Dynamic Models with Error Components2,414 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1994Threshold heteroskedastic models2,346 cited
  • 1992No news is good news1,929 cited
  • 1987PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators *1,509 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets

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1,471 cited
  • 2010The Effects of Corporate Social Responsibility on Brand Performance: The Mediating Effect of Industrial Brand Equity and Corporate Reputation852 cited
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