Unlocking ESG premium from options

Jie Cao (The Chinese University of Hong Kong), Amit Goyal (University of Lausanne and Swiss Finance Institute), Xintong Zhan (The Chinese University of Hong Kong), Weiming Elaine Zhang (The Chinese University of Hong Kong)

We find that option expensiveness, as measured by delta-hedged option returns, is higher for low-ESG stocks, indicating that investors pay a premium in the option market to hedge ESG-related uncertainty. We estimate this ESG premium to be about 0.3% per month. All three components of ESG contribute to option pricing. We find that investors pay the ESG premium to hedge jump risks, but not volatility risks. The effect of ESG performance is more prominent during the periods when the attention to ESG is higher and for firms that are more subject to ESG-related risks

MoreLess

Year of publication:	2021
Authors:	Cao, Jie ; Goyal, Amit ; Zhan, Xintong ; Zhang, Weiming Elaine
Publisher:	Geneva : Swiss Finance Institute
Subject:	ESG \| Environmental, social and governance \| implied volatility \| delta-hedged option return \| Volatilität \| Volatility \| Optionsgeschäft \| Option trading \| Optionspreistheorie \| Option pricing theory \| Corporate Social Responsibility \| Corporate social responsibility \| Kapitaleinkommen \| Capital income \| Risikoprämie \| Risk premium

freely available

Full text |

More access options

ideas.repec.org

papers.ssrn.com

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (circa 63 Seiten) Illustrationen
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. no 21, 39
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.3878123 [DOI]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; g41 ; M14 - Corporate Culture; Social Responsibility
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012593635