Informed short selling: Do institutional investors anticipate ESG risks?

IF 6.9 2区 经济学 Q1 BUSINESS, FINANCE
Wenjun Lu , Hanlin Luo , Yiqi He , Shouchao He , Ge Gao
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引用次数: 0

Abstract

Can institutional investors anticipate ESG-related risks before public disclosure? Using short position data under EU236 regulation and RepRisk’s ESG incident database, this study examines informational advantages among 586 European listed companies. Employing panel probit models and event studies, we find institutional investors exhibit significant anticipatory behavior prior to ESG incidents. Short-selling probability increases substantially when ESG events are expected within seven trading days. Short positions rise systematically in the five pre-event days, with minimal post-disclosure adjustment. Placebo tests based on bootstrap method confirm these patterns reflect genuine anticipation rather than random variation. Cross-dimensional analysis reveals heterogeneous advantages, with environmental events showing the strongest anticipatory effects. Our findings provide direct evidence of ESG information asymmetry, with implications for disclosure reform and sustainable investment practices.
知情卖空:机构投资者能预见ESG风险吗?
机构投资者能否在公开披露之前预测到esg相关风险?利用EU236法规下的空仓数据和RepRisk的ESG事件数据库,本研究考察了586家欧洲上市公司的信息优势。采用面板概率模型和事件研究,我们发现机构投资者在ESG事件之前表现出显著的预期行为。当ESG事件预计在7个交易日内发生时,卖空概率大幅增加。在事件发生前的5天里,空头头寸系统性上升,披露后的调整很少。基于自举法的安慰剂测试证实,这些模式反映了真实的预期,而不是随机变化。跨维度分析揭示了异质性优势,其中环境事件表现出最强的预期效应。我们的研究结果为ESG信息不对称提供了直接证据,对信息披露改革和可持续投资实践具有启示意义。
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来源期刊
Finance Research Letters
Finance Research Letters BUSINESS, FINANCE-
CiteScore
11.10
自引率
14.40%
发文量
863
期刊介绍: Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance
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