ESG risk exposure: a tale of two tails (Q6592286)
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scientific article; zbMATH DE number 7900980
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ESG risk exposure: a tale of two tails |
scientific article; zbMATH DE number 7900980 |
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ESG risk exposure: a tale of two tails (English)
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26 August 2024
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The authors study the environmental, social and governance (ESG) investments impact to the downside risk of companies in the US market by introducing a novel measure, the ESG risk contribution (CoESGRisk).\N\NCoESGRisk is a measurement based on the co-movement between the ESG risk factor and the downside risk. When there is a sudden increase in the ESG risk factor, the downside risk of high-ESG companies is reduced. However, under extreme conditions, the downside risk of high-ESG companies could also be increased, due to the increased company volatility. The ESG impact is positively correlated with the ESG performance and size, and it varies among sectors.
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