Working Paper

23 April 2020

Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash

The COVID-19 pandemic and the subsequent lockdown brought about an exogenous and unparalleled stock market crash. The crisis thus provides a unique opportunity to test theories of environmental and social (ES) policies. This...

Rui Albuquerque | Yrjö Koskinen | Shuai Yang | Chendi Zhang
16 April 2020

ESG Shareholder Engagement and Downside Risk

We examine whether engagement on environmental, social and governance (ESG) issues can benefit shareholders by reducing firms’ downside risk, measured using the lower partial moment and value at risk. Using a proprietary...

Andreas G.F. Hoepner | Ioannis Oikonomou | Zacharias Sautner | Laura Starks | Xiao Y. Zhou


ESG Rating Disagreement and Stock Returns

A variety of professional data vendors nowadays provide firm-level Environmental, Social, and Governance (ESG) ratings (or scores). These ratings...Read more

Rajna Gibson Brandon
Philipp Krueger
Nadine Riand
Peter Steffen Schmidt
02 March 2020