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Unraveling ESG Ambiguity, Price Reaction, and Trading Volume
16 references·1 citing·47 second hopsampled
Unraveling ESG Ambiguity, Price Reaction, and Trading Volume (2024)Unraveling ESG Ambiguity, Price Reaction,…The duality of ESG: Impact of ratings and disagreement on stock crash risk in China (2023)The duality of ESG: Impact of…Aggregate Confusion: The Divergence of ESG Ratings (2022)Aggregate Confusion: The Dive…Why is Corporate Virtue in the Eye of The Beholder? The Case of ESG Ratings (2021)Why is Corporate Virtue in th…Sustainable Investing: The Black Box of Environmental, Social, and Governance (ESG) Ratings (2021)Sustainable Investing: The Bl…Sustainable investing with ESG rating uncertainty (2021)Sustainable investing with ES…ESG Rating Disagreement and Stock Returns (2021)ESG Rating Disagreement and S…Sustainable investing in equilibrium (2020)Sustainable investing in equi…Taste, information, and asset prices: implications for the valuation of CSR (2016)Taste, information, and asset…Do ratings of firms converge? Implications for managers, investors and strategy researchers (2015)Do ratings of firms converge?…Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis (2013)Alpha as Ambiguity: Robust Me…Toward a Comparative Sociology of Valuation and Evaluation (2012)Toward a Comparative Sociolog…Ambiguity, Learning, and Asset Returns (2012)Ambiguity, Learning, and Asse…A Smooth Model of Decision Making under Ambiguity (2005)A Smooth Model of Decision Ma…Capital markets research in accounting (2001)Capital markets research in a…Securities Market Efficiency in an Arrow-Debreu Economy (1975)Securities Market Efficiency …The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets (1969)The Aggregation of Investor's…Dissecting the impact of the three E, S, G pillars on credit risk (2024)Dissecting the impact of the …WHY COMPANIES GO GREEN: A MODEL OF ECOLOGICAL RESPONSIVENESS. (2000)Corporate Social and Financial Performance: A Meta-Analysis (2003)Misery Loves Companies: Rethinking Social Initiatives by Business (2003)Corporate green bonds (2021)Environmental, Social, and Governance (ESG) disclosure: A literature review (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An aggregation theorem for securities markets (1974)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)Risk Aversion in the Small and in the Large (1976)The Common Prior Assumption in Economic Theory (1995)Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Reassembling the Social (2005)Why Status Matters for Inequality (2013)What is missing? Cultural processes and causal pathways to inequality (2014)Evaluation practices and effects of indicator use—a literature review (2015)Common risk factors in the returns on stocks and bonds (1993)Corporate Governance and Equity Prices (2003)Liquidity Risk and Expected Stock Returns (2003)Dissecting green returns (2022)Firm‐Level Climate Change Exposure (2023)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Aggregate Confusion: The Divergence of ESG Ratings (2019)Presidential Address: Sustainable Finance and ESG Issues— Value versus Values (2023)The green fog: Environmental rating disagreement and corporate greenwashing (2023)Risk, Ambiguity, and the Savage Axioms (1961)Risk Aversion in the Small and in the Large (1964)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Risk Aversion in the Laboratory (2008)Sensitivity analysis: A review of recent advances (2015)Judgment under Uncertainty: Heuristics and Biases (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Investor Inattention and Friday Earnings Announcements (2009)Epistemic Cultures (1999)The Drivers of Greenwashing (2011)Corporate social responsibility and access to finance (2013)Stock price reactions to ESG news: the role of ESG ratings and disagreement (2022)The Effects of Mandatory ESG Disclosure Around the World (2024)Intraclass correlations: Uses in assessing rater reliability. (1979)Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2017)Content Analysis: An Introduction to Its Methodology (2019)Climate Risks and Financial Stability (2020)
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References

  • 2022Aggregate Confusion: The Divergence of ESG Ratings3,411 cited
  • 2001Capital markets research in accounting2,575 cited
  • 2020Sustainable investing in equilibrium2,229 cited
  • 2005A Smooth Model of Decision Making under Ambiguity1,889 cited
  • 2021Why is Corporate Virtue in the Eye of The Beholder? The Case of ESG Ratings1,571 cited
  • 2012Toward a Comparative Sociology of Valuation and Evaluation1,491 cited
  • 2021Sustainable investing with ESG rating uncertainty1,340 cited
  • 2015Do ratings of firms converge? Implications for managers, investors and strategy researchers1,276 cited
  • 2021ESG Rating Disagreement and Stock Returns790 cited
  • 1969The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets501 cited
  • 2012Ambiguity, Learning, and Asset Returns405 cited
  • 2016Taste, information, and asset prices: implications for the valuation of CSR237 cited
  • 2013Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis170 cited
  • 1975Securities Market Efficiency in an Arrow-Debreu Economy159 cited
  • 2021Sustainable Investing: The Black Box of Environmental, Social, and Governance (ESG) Ratings147 cited

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  • 2023The duality of ESG: Impact of ratings and disagreement on stock crash risk in China117 cited
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    • 2024Dissecting the impact of the three E, S, G pillars on credit risk24 cited