ESG controversy as a potential asset-pricing factor

Jeongseok Bang, Doojin Ryu and Robert I. Webb

Finance Research Letters, 2023, vol. 58, issue PA

Abstract: We examine whether ESG and ESG controversy scores are pricing factors that systemically affect the risk-return relationship of stocks. We test their additional explanatory power after controlling for other well-known risk factors. ESG controversy risk factor explains the cross-section of stock market returns. Investors exposed to ESG controversies demand a risk premium whereas ESG risk is regarded as idiosyncratic.

Keywords: Asset pricing; ESG; ESG controversy; Risk factor; Risk premium (search for similar items in EconPapers)
JEL-codes: G11 G12 M14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006876

DOI: 10.1016/j.frl.2023.104315

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