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 (Delta CoESGRisk). Delta CoESGRisk 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.

ESG risk exposure: a tale of two tails

Caporin, Massimiliano
;
2024

Abstract

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 (Delta CoESGRisk). Delta CoESGRisk 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.
File in questo prodotto:
File Dimensione Formato  
2024_Yang_et_al_QF_online_first.pdf

non disponibili

Licenza: Accesso privato - non pubblico
Dimensione 3.31 MB
Formato Adobe PDF
3.31 MB Adobe PDF Visualizza/Apri   Richiedi una copia
2024_Yang_et_al_submitted.pdf

accesso aperto

Tipologia: Preprint (submitted version)
Licenza: Creative commons
Dimensione 2.62 MB
Formato Adobe PDF
2.62 MB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/3516590
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 0
  • ???jsp.display-item.citation.isi??? 0
  • OpenAlex ND
social impact