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ESG News and Stock Returns

July 7, 2021 • Posted in Aesthetic Investments, Fundamental Valuation

How do investors react to different kinds of firm-level environmental, social and governance (ESG) news? In their April 2021 paper entitled “Which Corporate ESG News does the Market React to?”, George Serafeim and Aaron Yoon examine stock returns around ESG news from analysts, media, advocacy groups and government regulators (but not firms themselves) as compiled/evaluated by TruValue Labs. Evaluation includes degree to which each news item is positive or negative. They segment the news sample based on materiality classifications from the Sustainability Accounting Standards Board (SASB). Using daily market-adjusted and industry-adjusted stock returns associated with 111,020 firm-day ESG news items spanning 3,126 companies during January 2010 through June 2018, they find that: (more…)

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