Does a sustainability risk premium exist where it matters the most?

Yann Ferrat, Frédéric Daty and Radu Burlacu

Emerging Markets Review, 2022, vol. 53, issue C

Abstract: Using a sample of ESG ratings, we examine the sustainability risk premium for developed and emerging markets between 2015 and 2019-end. Our results show that this premium is not empirically distinguishable in developed equity markets, whilst highly positive in the emerging ones. We further partition the emerging markets to comprehend whether country development and firm size have an impact on the sustainability risk premium. As uncovered, both factors play a significant role in the emergence of the risk premium. Consequently, larger corporations and advanced nations drive sustainability in the emerging markets and thus experience the financial benefits.

Keywords: Corporate social responsibility (CSR); Emerging markets; Portfolio analysis; Socially responsible investments (SRI); Sustainability risk premium (search for similar items in EconPapers)
JEL-codes: G11 G15 M14 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:53:y:2022:i:c:s1566014122000607

DOI: 10.1016/j.ememar.2022.100943

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