TY  - UNPD
A1  - Bannier, Christina E.
A1  - Bofinger, Yannik
A1  - Rock, Björn
T1  - Doing safe by doing good : ESG investing and corporate social responsibility in the U.S. and Europe
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 621
N2  - This paper examines the profitability of investing according to environmental, social and governance (ESG) criteria in the U.S. and Europe. Based on data from 2003 to 2017, we show that a portfolio long in stocks with the highest ESG scores and short in those with the lowest scores yields a significantly negative abnormal return. Interestingly, this is caused by the strong positive return of firms with the lowest ESG activity. As we find that increasing ESG scores reduce firm risk (particularly downside risk), this hints at an insurance-like character of corporate social responsibility: Firms with low ESG activity need to offer a corresponding risk premium. The perception of ESG as an insurance can be shown to be stronger in more volatile capital markets for U.S. firms, but not for European firms. Socially responsible investment may therefore be of varying attractiveness in different market phases.
T3  - CFS working paper series - 621 
KW  - ESG
KW  - corporate social responsibility
KW  - sustainability
KW  - downside risk
KW  - insurance
KW  - FamaFrench model
KW  - dynamic panel GMM estimation
Y1  - 2019
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/48058
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-480587
UR  - https://ssrn.com/abstract=3387073
IS  - April 29, 2019
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -