ESG Impact on Market Performance of Firms: International Evidence
AbstractThis study investigates how news-based scores in Environmental, Social and Corporate governance (ESG)will influence the monthly market return in the Swiss, US and UK stock markets. We are using a four-factor based linear model following during the 2007-2011 period, as well as a non-parametric model for Switzerland only. For market returns, we find that the variation of the Global ESG score is a significant but slightly negative factor of a stock’s monthly performance in the UK, but not significant in the US and Switzerland. The changes in sub-categories ratings (for instance, Governance, Environment, Labor…) exhibit a small but significant influence over the stock’s performance only during limited periods or on limited sectors, which varies among the countries. The non-parametric kernel regression shows that the function linking a stock’s performance to its ESG news–based scores’ changes is probably not linear.
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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-212.
Length: 31 pages
Date of creation: 10 Apr 2014
Date of revision:
ESG; Rating; Governance; Performance; Return; Kernel Regression.;
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