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The Impact of ESG on Stocks’ Downside Risk and Risk Adjusted Return
KTH Royal instute of technology, Sweden.
Jönköping University, Sweden;KTH Royal instute of technology, Sweden.ORCID iD: 0000-0001-5776-9396
2019 (English)Report (Other academic)
Abstract [en]

Investments considering corporate social responsibility continue to expand. Are companies pursuing a CSR agenda benefiting shareholders by reducing their financial downside risk? This paper investigates the relationship between a firm’s environmental, social and corporate governance (ESG) scores and its downside risk on the stock market. We study this link using a panel of 887 stocks listed in five European countries over the period 2005-2017. Our empirical results show that higher ESG scores are associated with reduced downside risk of stock returns. Based on the Fama-French three factor model, we found no systematic relationship between ESG and the level of risk-adjusted return.

Place, publisher, year, edition, pages
Östersund: Myndigheten för tillväxtpolitiska utvärderingar och analyser , 2019. , p. 26
Series
Working paper ; 2019:2
Keywords [en]
ESG, Value at Risk, Risk-adjusted return, stock market, panel data, Economics, Nationalekonomi
National Category
Economics
Research subject
Economy, Economics
Identifiers
URN: urn:nbn:se:lnu:diva-107985OAI: oai:DiVA.org:lnu-107985DiVA, id: diva2:1611149
Available from: 2021-11-13 Created: 2021-11-13 Last updated: 2021-11-29Bibliographically approved

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Stephan, Andreas

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CiteExportLink to record
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