Capital-market effects of ESG scores : evidence from a quasi-natural experiment

Meyer, Julia; Schüpbach, Luca Maria; Utz, Sebastian

doi:10.2139/ssrn.3683100

Publication type:	Working paper – expertise – study
Title:	Capital-market effects of ESG scores : evidence from a quasi-natural experiment
Authors:	Meyer, Julia Schüpbach, Luca Maria Utz, Sebastian
et. al:	No
DOI:	10.2139/ssrn.3683100
Extent:	61
Issue Date:	2020
Publisher / Ed. Institution:	SSRN
Language:	English
Subjects:	ESG information; Capital-market effect; Difference- in-differences; Event study; Stock market reaction
Subject (DDC):	332: Financial economics
Abstract:	We investigate the capital-market effects of the release of environmental, social, and governance (ESG) scores on the Bloomberg Professional Terminal. To estimate causal effects for a group of treated companies (i.e., stocks with newly available ESG scores), we exploit the unanticipated publication of Sustainalytics ESG scores vis à vis a matched control group in a difference-in-difference setting. We find a significant increase in market liquidity and abnormal returns in the treated group. The most substantial effects prevail in regions with lower ESG awareness and for companies with above-median ESG scores.
URI:	https://digitalcollection.zhaw.ch/handle/11475/21971
License (according to publishing contract):	Licence according to publishing contract
Departement:	School of Management and Law
Organisational Unit:	Institute for Financial Management (IFI)
Appears in collections:	Publikationen School of Management and Law

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Meyer, J., Schüpbach, L. M., & Utz, S. (2020). Capital-market effects of ESG scores : evidence from a quasi-natural experiment. SSRN. https://doi.org/10.2139/ssrn.3683100

Meyer, J., Schüpbach, L.M. and Utz, S. (2020) Capital-market effects of ESG scores : evidence from a quasi-natural experiment. SSRN. Available at: https://doi.org/10.2139/ssrn.3683100.

J. Meyer, L. M. Schüpbach, and S. Utz, “Capital-market effects of ESG scores : evidence from a quasi-natural experiment,” SSRN, 2020. doi: 10.2139/ssrn.3683100.

MEYER, Julia, Luca Maria SCHÜPBACH und Sebastian UTZ, 2020. Capital-market effects of ESG scores : evidence from a quasi-natural experiment. SSRN

Meyer, Julia, Luca Maria Schüpbach, and Sebastian Utz. 2020. “Capital-Market Effects of ESG Scores : Evidence from a Quasi-Natural Experiment.” SSRN. https://doi.org/10.2139/ssrn.3683100.

Meyer, Julia, et al. Capital-Market Effects of ESG Scores : Evidence from a Quasi-Natural Experiment. SSRN, 2020, https://doi.org/10.2139/ssrn.3683100.