| Publikationstyp: | Working Paper – Gutachten – Studie |
| Titel: | The anatomy of sustainability |
| Autor/-in: | Mahmoud, Ola Meyer, Julia |
| et. al: | No |
| Umfang: | 49 |
| Erscheinungsdatum: | 2020 |
| Verlag / Hrsg. Institution: | SSRN |
| ISSN: | 1556-5068 |
| Sprache: | Englisch |
| Schlagwörter: | ESG factor; ESG rating; Uncertainty; Investor sentiment; Market crash; Sustainable equity |
| Fachgebiet (DDC): | 338.927: Umweltökonomie und nachhaltige Entwicklung |
| Zusammenfassung: | We present evidence that sustainability is inextricably linked with market-implied uncertainty and sentiment. We derive an econometric decomposition of sustainability ratings yielding three orthogonal components capturing uncertainty, investor sentiment, and an idiosyncratic sustainability factor. Examining the shock of the COVID-19 pandemic to the US stock market in light of these explanatory factors, we show that the perceived immunity of sustainable stocks during the crash is essentially driven through the uncertainty channel. Once controlling for uncertainty, sentiment and firm fundamentals, the positive relationship between idiosyncratic sustainability and resilience persists, albeit weakly. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/21940 |
| Lizenz (gemäss Verlagsvertrag): | Lizenz gemäss Verlagsvertrag |
| Departement: | School of Management and Law |
| Organisationseinheit: | Institut für Financial Management (IFI) |
| Enthalten in den Sammlungen: | Publikationen School of Management and Law |
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Mahmoud, O., & Meyer, J. (2020). The anatomy of sustainability. SSRN.
Mahmoud, O. and Meyer, J. (2020) The anatomy of sustainability. SSRN.
O. Mahmoud and J. Meyer, “The anatomy of sustainability,” SSRN, 2020.
MAHMOUD, Ola und Julia MEYER, 2020. The anatomy of sustainability. SSRN
Mahmoud, Ola, and Julia Meyer. 2020. “The Anatomy of Sustainability.” SSRN.
Mahmoud, Ola, and Julia Meyer. The Anatomy of Sustainability. SSRN, 2020.
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