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dc.contributor.authorOrpiszewski, Tomasz-
dc.contributor.authorThompson, Mark James-
dc.contributor.authorSchwendner, Peter-
dc.date.accessioned2024-06-15T09:21:24Z-
dc.date.available2024-06-15T09:21:24Z-
dc.date.issued2023-06-21-
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/30827-
dc.descriptionDieses Preprint wurde im März 2024 im International Journal of Accounting akzeptiert.de_CH
dc.description.abstractThis 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.de_CH
dc.format.extent17de_CH
dc.language.isoende_CH
dc.publisherSSRNde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectESG newsde_CH
dc.subjectImplied volatilityde_CH
dc.subjectMarket reactionde_CH
dc.subject.ddc332.6: Investitionde_CH
dc.titleThe stock and option market response to negative ESG newsde_CH
dc.typeWorking Paper – Gutachten – Studiede_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
zhaw.organisationalunitInstitut für Wealth & Asset Management (IWA)de_CH
dc.identifier.doi10.2139/ssrn.4478825de_CH
zhaw.funding.euNode_CH
zhaw.originated.zhawYesde_CH
zhaw.author.additionalNode_CH
zhaw.display.portraitYesde_CH
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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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