IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-03981378.html

Does a sustainability risk premium exist where it matters the most?

Author

Listed:
  • Yann Ferrat

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes)

  • Frédéric Daty

    (OFI Asset Management)

  • Radu Burlacu

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UGA - Université Grenoble Alpes)

Abstract

Using a sample of ESG ratings, we examine the sustainability risk premium for developed and emerging markets between 2015 and 2019-end. Our results show that this premium is not empirically distinguishable in developed equity markets, whilst highly positive in the emerging ones. We further partition the emerging markets to comprehend whether country development and firm size have an impact on the sustainability risk premium. As uncovered, both factors play a significant role in the emergence of the risk premium. Consequently, larger corporations and advanced nations drive sustainability in the emerging markets and thus experience the financial benefits.

Suggested Citation

  • Yann Ferrat & Frédéric Daty & Radu Burlacu, 2022. "Does a sustainability risk premium exist where it matters the most?," Post-Print hal-03981378, HAL.
    • Handle: RePEc:hal:journl:hal-03981378
    DOI: 10.1016/j.ememar.2022.100943
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-03981378. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.