We document the impact of ESG shocks on the stock returns of suppliers and clients of affected firms. The impact is contingent not only on the sign and magnitude of the shock, but also on its interaction with the firm's ESG level. ESG shocks are integrated into prices intra-daily and the...

This paper quantifies the impact of stock-specific news sentiment on future financial returns. Predictive regressions yield significant t-statistics for 7% at most of our sample of more than one thousand large stocks listed in the US. While a few assets do run through pockets of predictability,...

We document the impact of ESG shocks on the returns of suppliers and clients of affected firms. Our equilibrium model suggests that this impact is contingent not only on the sign and magnitude of the shock, but also on the product between the shock and the level of the ESG score. An empirical...