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Does ESG performance affect the systemic risk sensitivity? Empirical evidence from Chinese listed companies
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Does ESG performance affect the systemic risk sensitivity? Empirical evidence from Chinese listed companies (2024)Does ESG performance affect the systemic …The Influence of Firm Size on the ESG Score: Corporate Sustainability Ratings Under Review (2019)The Influence of Firm Size on…Aggregate Confusion: The Divergence of ESG Ratings (2019)Aggregate Confusion: The Dive…ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)ESG and financial performance…Corporate goodness and shareholder wealth (2014)Corporate goodness and shareh…Corporate social responsibility and access to finance (2013)Corporate social responsibili…Does Corporate Social Responsibility Affect the Cost of Capital? (2010)Does Corporate Social Respons…Corporate Social Responsibility as a Conflict Between Shareholders (2010)Corporate Social Responsibili…The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)The relationship between corp…Stakeholder Theory and “The Corporate Objective Revisited” (2004)Stakeholder Theory and “The C…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Job Market Signaling (1973)Corporate financing and investment decisions when firms have information that investors do not have (1984)Econometric Analysis of Cross Section and Panel Data (2001)The Impact of Corporate Sustainability on Organizational Processes and Performance (2014)Corporate Green Bonds (2018)Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence (2018)Liquidity Preference as Behavior Towards Risk (1958)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)The Role of Securities in the Optimal Allocation of Risk-bearing (1973)Option pricing when underlying stock returns are discontinuous (1976)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Toward a Theory of Stakeholder Identification and Salience: Defining the Principle of Who and What Really Counts (1997)What We Know and Don’t Know About Corporate Social Responsibility (2012)Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2016)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A power primer. (1992)G*Power 3: A flexible statistical power analysis program for the social, behavioral, and biomedical sciences (2007)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)Common risk factors in the returns on stocks and bonds (1993)Initial conditions and moment restrictions in dynamic panel data models (1998)Intraclass correlations: Uses in assessing rater reliability. (1979)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Content Analysis: An Introduction to Its Methodology (2019)Sustainable investing in equilibrium (2020)Why is Corporate Virtue in the Eye of The Beholder? The Case of ESG Ratings (2021)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*20,205 cited
  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,887 cited
  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 2015ESG and financial performance: aggregated evidence from more than 2000 empirical studies5,503 cited
  • 1966Equilibrium in a Capital Asset Market5,065 cited
  • 2019Aggregate Confusion: The Divergence of ESG Ratings4,251 cited
  • 2013Corporate social responsibility and access to finance3,971 cited
  • 2010Does Corporate Social Responsibility Affect the Cost of Capital?3,502 cited
  • 2008The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis3,152 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 2010Corporate Social Responsibility as a Conflict Between Shareholders2,404 cited
  • 2004Stakeholder Theory and “The Corporate Objective Revisited”2,323 cited
  • 2014Corporate goodness and shareholder wealth

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  • 2019The Influence of Firm Size on the ESG Score: Corporate Sustainability Ratings Under Review1,656 cited
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