ESG and aggregate disagreement

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE Journal of International Financial Markets Institutions & Money Pub Date : 2024-03-23 DOI:10.1016/j.intfin.2024.101972

Di Luo , Hisham Farag

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Abstract

This paper investigates the role of aggregate disagreement in the relationship between environmental, social, and governance ( $ESG$ ) scores and future stock returns in the United States (US), European Union (EU), and United Kingdom (UK). We find that firms with high $ESG$ scores are likely to have higher exposure to aggregate disagreement than firms with low $ESG$ scores because of the divergence of opinions about long-term earnings growth. Consistent with our conjecture, the results suggest that when aggregate disagreement is high, a profitable trading strategy is to long firms with low $ESG$ scores and to short those with higher $ESG$ scores. Our results have clear implications for the growing debate over $ESG$ investment strategies.

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ESG 和总体分歧

本文研究了总体分歧在美国、欧盟和英国的环境、社会和治理（ESG）得分与未来股票回报之间关系中的作用。我们发现，与 ESG 分数低的公司相比，ESG 分数高的公司可能更容易受到总体分歧的影响，因为对长期盈利增长的看法存在分歧。与我们的猜想一致，结果表明，当总体分歧较大时，有利可图的交易策略是做多 ESG 分数较低的公司，做空 ESG 分数较高的公司。我们的结果对有关 ESG 投资策略的日益激烈的争论有明显的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.

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