Publication type: Working paper – expertise – study
Title: The anatomy of sustainability
Authors: Mahmoud, Ola
Meyer, Julia
et. al: No
DOI: 10.2139/ssrn.3597700
Extent: 49
Issue Date: 2020
ISSN: 1556-5068
Language: English
Subjects: ESG factor; ESG rating; Uncertainty; Investor sentiment; Market crash; Sustainable equity
Subject (DDC): 338.927: Environmental economics and sustainable development
Abstract: 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.
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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