TY  - UNPD
A1  - Kräussl, Roman
A1  - Oladiran, Tobi
A1  - Stefanova, Denitsa
T1  - ESG as protection against downside risk
N2  - We examine whether the uncertainty related to environmental, social, and governance (ESG) regulation developments is reflected in asset prices. We proxy the sensitivity of firms to ESG regulation uncertainty by the disparity across the components of their ESG ratings. Firms with high ESG disparity have a higher option-implied cost of protection against downside tail risk. The impact of the misalignment across the different dimensions of the ESG score is distinct from that of ESG score level itself. Aggregate downside risk bears a negative price for firms with low ESG disparity.
T3  - CFS working paper series - No. 708 
KW  - ESG
KW  - rating
KW  - downside risk
KW  - options
KW  - regulation
KW  - risk premium
Y1  - 2023
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/69132
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-691328
UR  - https://ssrn.com/abstract=4335850
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -