ESG news spillovers across the value chain

Vu Le Tran and Guillaume Coqueret ()
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Vu Le Tran: Nord University [Bodø]
Guillaume Coqueret: EM - EMLyon Business School

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Abstract: "We document the impact of ESG shocks on the stock returns of suppliers and clients of affected firms. Our empirical analysis of US stocks, along with their global clients and suppliers, reveals that ESG shocks are integrated into prices intradaily and that the cross-effect between shocks and ESG levels is statistically significant. The indirect diffusion of ESG shocks to customers' and suppliers' returns is also significant, but takes more time (a few days) and is less pronounced. Finally, the impact is stronger for small firms and for corporations that benefit from less media coverage. In addition, effects are more pronounced in the recent period (posterior to 2017), possibly due to increased investor attention toward sustainability."

Date: 2023-12-01
New Economics Papers: this item is included in nep-agr and nep-ure
Note: View the original document on HAL open archive server: https://hal.science/hal-04325746v1
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Published in Financial Management, 2023, 52 (4), 677-710 p. ⟨10.1111/fima.12431⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04325746

DOI: 10.1111/fima.12431

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