Climate transition risk, the generated from the transition to a low-carbon economy due to changing policies, can have cross-border impacts. In this paper, we study the transition risk spillover among six major financial markets globally from 2013 to 2021. We evidence the transition risk...

We apply a non-linear setting in capturing ESG factors. The non-linear factor captures the pricing of cross-section distribution of ESG scores. We find that the factors for ESG, E, and S scores deviate from linearity. The extent of deviation depends on the type of ESG scores as well as the...

This paper studies the ESG impact to the downside risk of companies in the US market by introducing a novel measure, the ESG risk contribution (1CoESGRisk). 1CoESGRisk is a measurement based on the co-movement between the ESG risk factor and the downside risk. When there is a sudden increase in...