Horn, Matthias - In: Schmalenbach journal of business research : SBUR 75 (2023) 3, pp. 415-442
This study analyzes whether stocks of companies with environmental social governance (ESG) rating show lower … idiosyncratic risk. The main analysis covers 898,757 company-month observations of US stocks in the period from 1991 to 2018 and … controls for stocks' exposure to liquidity, mispricing, innovations in volatility risk, investor sentiment, and analysts …