Do sustainable company stock prices increase with ESG scrutiny? Evidence using social media

Emilie Kvam, Peter Molnár, Ingvild Wankel and Bernt Ødegaard
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Emilie Kvam: NTNU
Ingvild Wankel: NTNU

No 2022/1, UiS Working Papers in Economics and Finance from University of Stavanger

Abstract: We investigate the link between stock returns and ESG (Environmental, Social and Governance) concerns. The ESG concerns are measured by ESG-related sentiment extracted from Google Trends and Twitter, and also by the VIX index. We find that higher ESG scores are associated with lower stock returns on average. However, companies with high ESG scores deliver high returns in times of ESG concerns. Our results are consistent with the implications of equilibrium models of Pastor et al. (2021) and Pedersen et al. (2021) about the ESG score and changes in ESG concerns (preferences or news).

Keywords: ESG investing; Social Media; Exclusion (search for similar items in EconPapers)
JEL-codes: G10 G20 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2022-03-15
New Economics Papers: this item is included in nep-big, nep-cwa, nep-env and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:stavef:2022_001

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