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Drawing up the bill: Are ESG ratings related to stock returns around the world?
16 references·0 citing·28 second hopsampled
Drawing up the bill: Are ESG ratings related to stock returns around the world? (2025)Drawing up the bill: Are ESG ratings rela…Aggregate Confusion: The Divergence of ESG Ratings (2022)Aggregate Confusion: The Dive…Firms and social responsibility: A review of ESG and CSR research in corporate finance (2021)Firms and social responsibili…Sustainable investing in equilibrium (2020)Sustainable investing in equi…The Importance of Climate Risks for Institutional Investors (2019)The Importance of Climate Ris…Do Investors Care about Carbon Risk? (2019)Do Investors Care about Carbo…Do institutional investors drive corporate social responsibility? International evidence (2018)Do institutional investors dr…ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)ESG and financial performance…A five-factor asset pricing model (2014)A five-factor asset pricing m…Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Does the stock market fully v…The price of sin: The effects of social norms on markets (2009)The price of sin: The effects…What Matters in Corporate Governance? (2008)What Matters in Corporate Gov…Corporate Governance and Equity Prices (2003)Corporate Governance and Equi…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A power primer. (1992)G*Power 3: A flexible statistical power analysis program for the social, behavioral, and biomedical sciences (2007)Environmental, Social and Governance (ESG) Scores and Financial Performance of Multilatinas: Moderating Effects of Geographic International Diversification and Financial Slack (2019)The Influence of Firm Size on the ESG Score: Corporate Sustainability Ratings Under Review (2019)WHAT'S IN A NAME? REPUTATION BUILDING AND CORPORATE STRATEGY. (1990)The theory and practice of corporate finance: evidence from the field (2001)Corporate green bonds (2021)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Firm‐Level Climate Change Exposure (2023)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)Sustainable investing with ESG rating uncertainty (2021)Dissecting green returns (2022)Multifactor Explanations of Asset Pricing Anomalies (1996)How do family ownership, control and management affect firm value? (2005)How does financial reporting quality relate to investment efficiency? (2009)The Impact of Corporate Sustainability on Organizational Processes and Performance (2014)Editor's Choice Digesting Anomalies: An Investment ApproachDo Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)
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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
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 2003Corporate Governance and Equity Prices6,115 cited
  • 2015ESG and financial performance: aggregated evidence from more than 2000 empirical studies4,715 cited
  • 2022Aggregate Confusion: The Divergence of ESG Ratings3,411 cited
  • 2019Do Investors Care about Carbon Risk?3,361 cited
  • 2019The Importance of Climate Risks for Institutional Investors3,012 cited
  • 2008What Matters in Corporate Governance?2,903 cited
  • 2021Firms and social responsibility: A review of ESG and CSR research in corporate finance2,874 cited
  • 2009The price of sin: The effects of social norms on markets2,600 cited
  • 2018Do institutional investors drive corporate social responsibility? International evidence2,545 cited
  • 2011Does the stock market fully value intangibles? Employee satisfaction and equity prices2,504 cited

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Sustainable investing in equilibrium
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