ESG Ratings and Market Response to Earnings Surprises
黄巍,夏威夷大学辛德勒商学院杰出教授。他的研究主要涵盖实证资产定价和金融市场领域。除了对美国金融市场的研究,他的学术工作的重要部分致力于国际金融市场的研究,特别关注亚太地区的金融市场。他的研究成果发表在著名期刊上,包括
Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Journal of Corporate Finance, Journal of International Money and Finance, Journal of Futures Markets,
and
Management International Review
等金融领域顶级期刊上。黄巍教授曾因在中国金融市场研究方面的杰出成就曾获得孙冶方金融创新奖。
Abstract: We find a strong positive relationship between ESG scores and market impact of earnings surprises, with the highest quintile ESG score stocks having more than four times stronger market reaction to earnings surprises than the lowest quintile ESG score stocks. Furthermore, this positive relationships hold among companies only with positive earnings announcement. Results from PSM matching samples confirms that the variation in ESG scores, not the firm characteristics, drives the positive relationship. We also observed a spillover effect, where a larger number of high-score ESG firms making announcements on a given day leads to non-ESG firms making announcements on the same day having larger-than-normal returns.
时间:2023年11月3日(周五) 上午10:40-12:00
水教211
主持人:李志成
湖南大学经济管理研究中心助理教授
纽约州立大学石溪分校经济学博士