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

Yann Ferrat, Frédéric Daty and Radu Burlacu ()
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Yann Ferrat: CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes
Frédéric Daty: OFI Asset Management
Radu Burlacu: CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes

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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.

Date: 2022-12
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Published in Emerging Markets Review, 2022, 53, pp.100943. ⟨10.1016/j.ememar.2022.100943⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03981378

DOI: 10.1016/j.ememar.2022.100943

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