Time-varying preferences for ESG investments: evidence from an emerging market

Eunyoung Cho

Journal of Derivatives and Quantitative Studies: 선물연구, 2023, vol. 31, issue 2, 121-138

Abstract: - This paper aims to examine the time-varying preferences for environment, social and corporate governance (ESG) investing in an emerging market. The investors seek ESG-conscious investments during a positive economic outlook, reflecting the time-varying nature of ESG demand. Specifically, the author shows that high-ESG stocks have negative abnormal returns during bad economic times but turn into positive abnormal returns in good economic times. The author also suggests that the alpha spread between high-ESG and low-ESG stocks is larger in good economic times than in bad times. Furthermore, individual investors prefer high ESG scoring stocks in good economic times. The author highlights that this ESG premium is shaped by economic projection and the households' financial wealth.

Keywords: ESG; Time-varying preference; Social responsibility; Economic projection; Emerging markets; G11; G40 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:jdqspp:jdqs-11-2022-0025

DOI: 10.1108/JDQS-11-2022-0025

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