| Publication type: | Working paper – expertise – study |
| Title: | The stock and option market response to negative ESG news |
| Authors: | Orpiszewski, Tomasz Thompson, Mark James Schwendner, Peter |
| et. al: | No |
| DOI: | 10.2139/ssrn.4478825 |
| Extent: | 17 |
| Issue Date: | 21-Jun-2023 |
| Publisher / Ed. Institution: | SSRN |
| Language: | English |
| Subjects: | ESG news; Implied volatility; Market reaction |
| Subject (DDC): | 332.6: Investment |
| Abstract: | This study investigates the response of stock prices and equity options to negative ESG incidents reported by RepRisk for S&P 500 companies between 2006 and 2021, considering the increasing significance of ESG ratings among fund managers and the widespread utilization of financial derivatives by investors. By conducting event studies, we find that, on average, stock prices and option implied volatility show a minimal day-to-day reaction to ESG incidents. However, more severe incidents and those reported by major business sources result in a more pronounced increase in implied volatility within a 10-day period following the event. Additionally, our empirical analysis highlights the influence of financial materiality on asset prices, as financially material ESG incidents lead to significant declines in stock prices and an upward surge in implied volatility. Notably, this effect is particularly prominent for incidents related to Natural Capital. In conclusion, we find that the options market effectively incorporates information regarding ESG events, while stock prices exhibit comparatively lower and less systematic reactivity. |
| Further description: | Dieses Preprint wurde im März 2024 im International Journal of Accounting akzeptiert. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/30827 |
| License (according to publishing contract): | Licence according to publishing contract |
| Departement: | School of Management and Law |
| Organisational Unit: | Institute of Wealth & Asset Management (IWA) |
| Appears in collections: | Publikationen School of Management and Law |
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Orpiszewski, T., Thompson, M. J., & Schwendner, P. (2023). The stock and option market response to negative ESG news. SSRN. https://doi.org/10.2139/ssrn.4478825
Orpiszewski, T., Thompson, M.J. and Schwendner, P. (2023) The stock and option market response to negative ESG news. SSRN. Available at: https://doi.org/10.2139/ssrn.4478825.
T. Orpiszewski, M. J. Thompson, and P. Schwendner, “The stock and option market response to negative ESG news,” SSRN, Jun. 2023. doi: 10.2139/ssrn.4478825.
ORPISZEWSKI, Tomasz, Mark James THOMPSON und Peter SCHWENDNER, 2023. The stock and option market response to negative ESG news. SSRN
Orpiszewski, Tomasz, Mark James Thompson, and Peter Schwendner. 2023. “The Stock and Option Market Response to Negative ESG News.” SSRN. https://doi.org/10.2139/ssrn.4478825.
Orpiszewski, Tomasz, et al. The Stock and Option Market Response to Negative ESG News. SSRN, 21 June 2023, https://doi.org/10.2139/ssrn.4478825.
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