 The impact of news on the volatility of ESG firmsOmid Sabbaghi Global Finance Journal, 2022, vol. 51, issue C Abstract: This study provides one of the first empirical investigations of asymmetric volatility for environmental, social, and governance (ESG) investing. Using the Morgan Stanley Capital International (MSCI) indices as proxies for ESG test assets, this study investigates volatility risk for the highest ESG-rated firms through an empirical analysis in assessing how good news and bad news impact the risk of ESG firms. The analysis provides empirical evidence in support of the hypothesis that the impact of news on the volatility of ESG firms is larger for bad news, compared to good news. Employing an EGARCH framework, the analysis also finds that, in response to bad news, the observed volatility increases for small size ESG firms is lower compared to large and mid-cap ESG firms. The findings provide evidence of a slow response by small size firms to news in an ESG context. In modeling the conditional volatility of the ESG test assets, the analysis also provides evidence of higher persistence in the conditional volatility dynamics for small size ESG firms. Keywords: Environmental-social-governance (ESG) investments; News impact; EGARCH; Socially responsible investing; ESG volatility (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:51:y:2022:i:c:s1044028320302702 DOI: 10.1016/j.gfj.2020.100570 Access Statistics for this article Global Finance Journal is currently edited by Manuchehr Shahrokhi More articles in Global Finance Journal from Elsevier |
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