ESG news and long-run stock returns

Vu, Thanh Nam; Junttila, Juha-Pekka; Lehkonen, Heikki (2023-12-23)
 
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https://doi.org/10.1016/j.frl.2023.104915

Vu, Thanh Nam
Junttila, Juha-Pekka
Lehkonen, Heikki
Elsevier
23.12.2023

Thanh Nam Vu, Juha-Pekka Junttila, Heikki Lehkonen, ESG news and long-run stock returns, Finance Research Letters, Volume 60, 2024, 104915, ISSN 1544-6123, https://doi.org/10.1016/j.frl.2023.104915

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© 2023 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
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doi:https://doi.org/10.1016/j.frl.2023.104915
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Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:oulu-202402121698
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Abstract

This paper investigates the persistence of ESG news' effects on US stock returns. Utilizing a rolling-portfolio approach to calculate overlapping returns of news-based portfolios, extending up to twelve months post-news release, we find that market reactions to ESG news are fleeting and reversing within a month in the most recent sample period. This suggests ESG news has no enduring influence on stock returns. Notably, the reactions are prominent for social and governance themes but not for environmental-related news. This study is one of the first attempts to understand how ESG news can affect a company's value over the long term.
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