ESG news and long-run stock returns

Thanh Nam Vu, Juha Junttila and Heikki Lehkonen

Finance Research Letters, 2024, vol. 60, issue C

Abstract: This paper investigates the persistence of ESG news' effects on US stock returns. Utilizing a rolling-portfolio approach to calculate overlapping returns of news-based portfolios, extending up to twelve months post-news release, we find that market reactions to ESG news are fleeting and reversing within a month in the most recent sample period. This suggests ESG news has no enduring influence on stock returns. Notably, the reactions are prominent for social and governance themes but not for environmental-related news. This study is one of the first attempts to understand how ESG news can affect a company's value over the long term.

Keywords: ESG news; ESG investing; Market reactions; Sustainability (search for similar items in EconPapers)
JEL-codes: G14 G40 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012874

DOI: 10.1016/j.frl.2023.104915

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