Leading or lagging indicators of risk? The informational content of extra-financial performance scores

Roland Gillet, Amos Sodjahin, Claudia Champagne and Frank Coggins
Additional contact information
Amos Sodjahin: Accounting department - Faculté d'administration de l'Université de Moncton - Université de Moncton, GREFA - Groupe de recherche en finance responsable - UdeS - Université de Sherbrooke
Claudia Champagne: UdeS - Université de Sherbrooke, GREFA - Groupe de recherche en finance responsable - UdeS - Université de Sherbrooke
Frank Coggins: UdeS - Université de Sherbrooke, GREFA - Groupe de recherche en finance responsable - UdeS - Université de Sherbrooke

Post-Print from HAL

Abstract: This study investigates the informational content of extra-financial agency scoring by examining the relationship between firm beta and extra-financial performance score upgrades and downgrades. Specifically, we study the variations in the extra-financial score of 266 Canadian corporations between 2007 and 2012 with a conditional model. We find no evidence that changes in firm beta precede changes in extra-financial scores. Rather, our results suggest that a firm's systematic risk increases following a downgrade of its extra-financial performance. In terms of score upgrades, the overall effect is not significant. However, score upgrades for firms with already-high scores predict higher systematic risk, while score upgrades for firms with low scores predict lower systematic risk. These results suggest that extra-financial scores are informational and can be useful to portfolio managers, notably for their risk management strategies.

Keywords: performance; agency; systemic risk (search for similar items in EconPapers)
Date: 2017-09
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Published in Journal of Asset Management, 2017, 18 (5), pp.347-370. ⟨10.1057/s41260-016-0039-y⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Leading or lagging indicators of risk? The informational content of extra-financial performance scores (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03690817

DOI: 10.1057/s41260-016-0039-y

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().