超越国界:资产价格对国内外ESG事件的反应

IF 7.5 1区 经济学 Q1 BUSINESS, FINANCE
Tomasz Orpiszewski, Mark Thompson
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引用次数: 0

摘要

本研究解决了投资者和学者对了解资产价格对环境、社会和治理(ESG)事件的反应日益增长的兴趣,特别是那些发生在国际上的事件。尽管有大量关于esg相关财务影响的文献,但对股票和公司债券的共同影响,特别是与事件的地理、语言和经济背景有关的影响,仍未得到充分研究。为了弥补这一差距,我们采用了一种事件研究方法,利用Fama-French五因素股票模型和基于信用评级和公司债券期限的匹配投资组合。通过分析ESG事件的全球数据集,我们发现了一些重要的见解。首先,环境事件通常与股票和公司债券的下跌有关。在欧洲,与治理相关的新闻也引发了明显的负面反应。其次,发生在美国和欧洲本国管辖范围内的ESG事件通常会导致价格上涨或小幅下跌,这突显出基于地理邻近的不同市场反应。第三,我们观察到,以非英语语言报道的事件或发生在远离公司总部的地方往往会引发更强烈的负面市场反应,特别是当这些事件发生在亚太地区的发达国家时。最后,在人均GDP较高的富裕国家发生的事件导致所有资产的价格下跌幅度较大,而在发展中国家发生事件时,债券价格下跌幅度较小,甚至上涨。这些发现强调了地理、语言和经济因素影响市场对全球ESG事件反应的微妙方式。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Beyond borders: Asset price reaction to ESG incidents at home and abroad
This study addresses the growing interest among investors and academics in understanding the asset price reaction to Environmental, Social, and Governance (ESG) incidents, particularly those occurring internationally. Despite extensive literature on ESG-related financial implications, the joint impact on stocks and corporate bonds, especially in relation to geographic, linguistic, and economic contexts of incidents, remains understudied. To bridge this gap, we apply an event-study methodology utilizing the Fama–French five-factor model for equities and matching portfolios based on credit ratings and durations for corporate bonds. Analyzing a global dataset of ESG incidents, we uncover several important insights. First, environmental incidents are generally associated with a downward movement in both stocks and corporate bonds. In Europe, governance-related news also triggers a pronounced negative reaction. Second, ESG incidents occurring within the home jurisdiction in the US and Europe often lead to a price increase or a milder drop, highlighting a differential market response based on geographical proximity. Third, we observe that incidents reported in non-English languages or occurring farther from the corporate headquarters tend to elicit stronger negative market reactions, especially when these incidents take place in developed countries within the Asia-Pacific region. Finally, incidents in wealthier countries with higher GDP per capita result in a greater price drop across all assets, whereas bond prices exhibit a smaller decline or even increase when incidents occur in developing countries. These findings underscore the nuanced ways in which geographical, linguistic, and economic factors shape market responses to global ESG events.
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来源期刊
CiteScore
10.30
自引率
9.80%
发文量
366
期刊介绍: The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.
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