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Do sustainable company stock prices increase with ESG scrutiny? Evidence using social media

Author

Listed:
  • Kvam, Emilie

    (NTNU)

  • Molnar, Peter

    (University of Stavanger)

  • Wankel, Ingvild

    (NTNU)

  • Odegaard, Bernt Arne

    (University of Stavanger)

Abstract

We investigate the link between stock returns and ESG (Environmental, Social and Governance) concerns. The ESG concerns are measured by ESG-related sentiment extracted from Google Trends and Twitter, and also by the VIX index. We find that higher ESG scores are associated with lower stock returns on average. However, companies with high ESG scores deliver high returns in times of ESG concerns. Our results are consistent with the implications of equilibrium models of Pastor et al. (2021) and Pedersen et al. (2021) about the ESG score and changes in ESG concerns (preferences or news).

Suggested Citation

  • Kvam, Emilie & Molnar, Peter & Wankel, Ingvild & Odegaard, Bernt Arne, 2022. "Do sustainable company stock prices increase with ESG scrutiny? Evidence using social media," UiS Working Papers in Economics and Finance 2022/1, University of Stavanger.
    • Handle: RePEc:hhs:stavef:2022_001
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    References listed on IDEAS

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    Cited by:

    1. Stéphane Goutte & Viet Hoang Le & Fei Liu & Hans-Jörg Mettenheim, Von, 2023. "Esg Investing: A Sentiment Analysis Approach," Working Papers halshs-03917335, HAL.

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    More about this item

    Keywords

    ESG investing; Social Media; Exclusion;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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