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ESG, firm image, and explanatory power for stock returns

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  • Jeongseok Bang
  • Hankil Kang
  • Doojin Ryu

Abstract

This letter examines whether ESG controlled by firms’ interest in their image explains the cross-section of expected stock returns. We use the LASSO method to select useful factors that explain the stock market dynamics. The controlled ESG factor yields significant alpha and some explanatory power for expected returns after controlling for both the selected and other well-known factors.

Suggested Citation

  • Jeongseok Bang & Hankil Kang & Doojin Ryu, 2025. "ESG, firm image, and explanatory power for stock returns," Applied Economics Letters, Taylor & Francis Journals, vol. 32(16), pages 2315-2321, September.
    • Handle: RePEc:taf:apeclt:v:32:y:2025:i:16:p:2315-2321
    DOI: 10.1080/13504851.2024.2332579
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