ESG评级事件与股市反应

M. Glück, Benjamin Hübel, H. Scholz
{"title":"ESG评级事件与股市反应","authors":"M. Glück, Benjamin Hübel, H. Scholz","doi":"10.2139/ssrn.3803254","DOIUrl":null,"url":null,"abstract":"This paper examines the effect of Environmental-, Social- and Governance- (ESG) rating events on returns and risks of stocks based on a large sample of US firms and their MSCI ESG ratings. Using event study methodology, we find that markets react with significant negative abnormal returns to downgrades in environmental and in social scores. ESG rating changes thus seem to provide new value-relevant information to market participants. Further, applying a difference-in-differences approach, we assess whether and how changes in ESG rating impact the risks associated with stocks by examining downside, systematic and total risk. Our findings suggest that rating changes already materialize shortly after the rating event. Upgrades in environmental scores significantly moderate downside risk, whereas upgrades in governance scores seem to mitigate systematic risk. Therefore, by improving the firm’s ESG profile, managers can mitigate value-relevant risks of their firms in short-term.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":"21 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"ESG Rating Events and Stock Market Reactions\",\"authors\":\"M. Glück, Benjamin Hübel, H. Scholz\",\"doi\":\"10.2139/ssrn.3803254\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper examines the effect of Environmental-, Social- and Governance- (ESG) rating events on returns and risks of stocks based on a large sample of US firms and their MSCI ESG ratings. Using event study methodology, we find that markets react with significant negative abnormal returns to downgrades in environmental and in social scores. ESG rating changes thus seem to provide new value-relevant information to market participants. Further, applying a difference-in-differences approach, we assess whether and how changes in ESG rating impact the risks associated with stocks by examining downside, systematic and total risk. Our findings suggest that rating changes already materialize shortly after the rating event. Upgrades in environmental scores significantly moderate downside risk, whereas upgrades in governance scores seem to mitigate systematic risk. Therefore, by improving the firm’s ESG profile, managers can mitigate value-relevant risks of their firms in short-term.\",\"PeriodicalId\":11410,\"journal\":{\"name\":\"Econometric Modeling: Capital Markets - Risk eJournal\",\"volume\":\"21 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-03-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: Capital Markets - Risk eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3803254\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Capital Markets - Risk eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3803254","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2

摘要

本文基于美国公司及其MSCI ESG评级的大样本,研究了环境、社会和治理(ESG)评级事件对股票回报和风险的影响。使用事件研究方法,我们发现市场对环境和社会得分的下降做出显著的负异常回报反应。因此,ESG评级的变化似乎为市场参与者提供了新的价值相关信息。此外,采用差异中的差异方法,我们通过检查下行风险、系统风险和总风险来评估ESG评级的变化是否以及如何影响与股票相关的风险。我们的研究结果表明,评级变化在评级事件发生后不久就会出现。环境得分的升级显著地缓和了下行风险,而治理得分的升级似乎减轻了系统风险。因此,通过改善公司的ESG概况,管理者可以在短期内减轻公司的价值相关风险。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
ESG Rating Events and Stock Market Reactions
This paper examines the effect of Environmental-, Social- and Governance- (ESG) rating events on returns and risks of stocks based on a large sample of US firms and their MSCI ESG ratings. Using event study methodology, we find that markets react with significant negative abnormal returns to downgrades in environmental and in social scores. ESG rating changes thus seem to provide new value-relevant information to market participants. Further, applying a difference-in-differences approach, we assess whether and how changes in ESG rating impact the risks associated with stocks by examining downside, systematic and total risk. Our findings suggest that rating changes already materialize shortly after the rating event. Upgrades in environmental scores significantly moderate downside risk, whereas upgrades in governance scores seem to mitigate systematic risk. Therefore, by improving the firm’s ESG profile, managers can mitigate value-relevant risks of their firms in short-term.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信