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Keywords
The salience of ESG ratings for stock pricing: evidence from (potentially) confused investors
(2021)
We exploit the a modification to Sustainanlytics’ environmental, social, and governance (ESG) rating methodology, which is subsequently adopted by Morningstar, to study whether ESG ratings are salient for stock pricing. We show that the inversion of the rating scale but not new information leads some investors to make incorrect assessments about the meaning of the change in ESG ratings. They buy (sell) stocks they misconceive as ESG upgraded (downgraded) even when the opposite is true. This trading behavior exerts transitory price pressure on affected stocks. Our paper highlights the importance of ESG ratings for investors and consequently for asset prices.
Non-standard errors
(2021)
Menkveld, Albert J. ; Dreber, Anna ; Holzmeister, Felix ; Huber, Jürgen ; Johannesson, Magnus ; Kirchler, Michael ; Razen, Michael ; Weitzel, Utz ; Abad Díaz, David ; Abudy, Menachem ; Adrian, Tobias ; Ait-Sahalia, Yacine ; Akmansoy, Olivier ; Alcock, Jamie ; Alexeev, Vitali ; Aloosh, Arash ; Amato, Livia ; Amaya, Diego ; Angel, James ; Bach, Amadeus ; Baidoo, Edwin ; Bakalli, Gaetan ; Barbon, Andrea ; Bashchenko, Oksana ; Bindra, Parampreet Christopher ; Bjonnes, Geir Hoidal ; Black, Jeff ; Black, Bernard S. ; Bohorquez, Santiago ; Bondarenko, Oleg ; Bos, Charles S. ; Bosch-Rosa, Ciril ; Bouri, Elie ; Brownlees, Christian ; Calamia, Anna ; Cao, Viet Nga ; Capelle-Blancard, Gunther ; Capera, Laura ; Caporin, Massimiliano ; Carrion, Allen ; Caskurlu, Tolga ; Chakrabarty, Bidisha ; Chernov, Mikhail ; Cheung, William M. ; Chincarini, Ludwig Boris ; Chordia, Tarun ; Chow, Sheung Chi ; Clapham, Benjamin ; Colliard, Jean-Edouard ; Comerton-Forde, Carole ; Curran, Edward ; Dao, Thong ; Dare, Wale ; Davies, Ryan J. ; De Blasis, Riccardo ; De Nard, Gianluca ; Declerck, Fany ; Deev, Oleg ; Degryse, Hans ; Deku, Solomon ; Desagre, Christophe ; Dijk, Mathijs van ; Dim, Chukwuma ; Dimpfl, Thomas ; Dong, Yun Jiang ; Drummond, Philip ; Dudda, Tom ; Dumitrescu, Ariadna ; Dyakov, Teodor ; Haubo Dyhrberg, Anne ; Dzieliński, Michał ; Eksi, Asli ; El Kalak, Izidin ; Ellen, Saskia ter ; Eugster, Nicolas ; Evans, Martin D. D. ; Farrell, Michael ; Félez-Viñas, Ester ; Ferrara, Gerardo ; Ferrouhi, El Mehdi ; Flori, Andrea ; Fluharty-Jaidee, Jonathan ; Foley, Sean ; Fong, Kingsley Y. L. ; Foucault, Thierry ; Franus, Tatiana ; Franzoni, Francesco ; Frijns, Bart ; Frömmel, Michael ; Fu, Servanna ; Füllbrunn, Sascha ; Gan, Baoqing ; Gehrig, Thomas ; Gerritsen, Dirk ; Gil-Bazo, Javier ; Glosten, Lawrence R. ; Gomez, Thomas ; Gorbenko, Arseny ; Güçbilmez, Ufuk ; Grammig, Joachim ; Gregoire, Vincent ; Hagströmer, Björn ; Hambuckers, Julien ; Hapnes, Erik ; Harris, Jeffrey H. ; Harris, Lawrence ; Hartmann, Simon ; Hasse, Jean-Baptiste ; Hautsch, Nikolaus ; He, Xuezhong ; Heath, Davidson ; Hediger, Simon ; Hendershott, Terrence ; Hibbert, Ann Marie ; Hjalmarsson, Erik ; Hoelscher, Seth A. ; Hoffmann, Peter ; Holden, Craig W. ; Horenstein, Alex R. ; Huang, Wenqian ; Huang, Da ; Hurlin, Christophe ; Ivashchenko, Alexey ; Iyer, Subramanian Rama ; Jahanshahloo, Hossein ; Jalkh, Naji ; Jones, Charles M. ; Jurkatis, Simon ; Jylha, Petri ; Kaeck, Andreas ; Kaiser, Gabriel ; Karam, Arzé ; Karmaziene, Egle ; Kassner, Bernhard ; Kaustia, Markku ; Kazak, Ekaterina ; Kearney, Fearghal ; Kervel, Vincent van ; Khan, Saad ; Khomyn, Marta ; Klein, Tony ; Klein, Olga ; Klos, Alexander ; Koetter, Michael ; Krahnen, Jan Pieter ; Kolokolov, Aleksey ; Korajczyk, Robert A. ; Kozhan, Roman ; Kwan, Amy ; Lajaunie, Quentin ; Lam, FY Eric C ; Lambert, Marie ; Langlois, Hugues ; Lausen, Jens ; Lauter, Tobias ; Leippold, Markus ; Levin, Vladimir ; Li, Yijie ; Li, Hui ; Liew, Chee Yoong ; Lindner, Thomas ; Linton, Oliver B. ; Liu, Jiacheng ; Liu, Anqi ; Llorente, Guillermo ; Lof, Matthijs ; Lohr, Ariel ; Longstaff, Francis A. ; Lopez-Lira, Alejandro ; Mankad, Shawn ; Mano, Nicola ; Marchal, Alexis ; Martineau, Charles ; Mazzola, Francesco ; Meloso, Debrah ; Mihet, Roxana ; Mohan, Vijay ; Moinas, Sophie ; Moore, David ; Mu, Liangyi ; Muravyev, Dmitriy ; Murphy, Dermot ; Neszveda, Gabor ; Neumeier, Christian ; Nielsson, Ulf ; Nimalendran, Mahendrarajah ; Nolte, Sven ; Norden, Lars L. ; O'Neill, Peter ; Obaid, Khaled ; Ødegaard, Bernt Arne ; Östberg, Per ; Painter, Marcus ; Palan, Stefan ; Palit, Imon ; Park, Andreas ; Pascual, Roberto ; Pasquariello, Paolo ; Pastor, Lubos ; Patel, Vinay ; Patton, Andrew J. ; Pearson, Neil D. ; Pelizzon, Loriana ; Rzeźnik, Aleksandra ; Sanford, Anthony ; Sankaran, Harikumar ; Sarkar, Asani ; Sarno, Lucio ; Scaillet, O. ; Scharnowski, Stefan ; Schenk-Hoppé, Klaus Reiner ; Schertler, Andrea ; Schneider, Michael ; Schroeder, Florian ; Schürhoff, Norman ; Schuster, Philipp ; Schwarz, Marco A. ; Seasholes, Mark S. ; Seeger, Norman ; Shachar, Or ; Shkilko, Andriy ; Shui, Jessica ; Sikic, Mario ; Simion, Giorgia ; Smales, Lee A. ; Söderlind, Paul ; Sojli, Elvira ; Sokolov, Konstantin ; Spokeviciute, Laima ; Stefanova, Denitsa ; Subrahmanyam, Marti G. ; Neusüss, Sebastian ; Szaszi, Barnabas ; Talavera, Oleksandr ; Tang, Yuehua ; Taylor, Nicholas ; Tham, Wing Wah ; Theissen, Erik ; Thimme, Julian ; Tonks, Ian ; Tran, Hai ; Trapin, Luca ; Trolle, Anders B. ; Valente, Giorgio ; Van Ness, Robert A. ; Vasquez, Aurelio ; Verousis, Thanos ; Verwijmeren, Patrick ; Vilhelmsson, Anders ; Vilkov, Grigory ; Vladimirov, Vladimir ; Vogel, Sebastian ; Voigt, Stefan ; Wagner, Wolf ; Walther, Thomas ; Weiss, Patrick ; Wel, Michel van der ; Werner, Ingrid M. ; Westerholm, Joakim ; Westheide, Christian ; Wipplinger, Evert ; Wolf, Michael ; Wolff, Christiaan Cornelis Petrus ; Wolk, Leonard ; Wong, Wing Keung ; Wrampelmeyer, Jan ; Xia, Shuo ; Xiu, Dacheng ; Xu, Ke ; Xu, Caihong ; Yadav, Pradeep ; Yagüe, José ; Yan, Cheng ; Yang, Antti ; Yoo, Woongsun ; Yu, Wenjia ; Yu, Shihao ; Yueshen, Bart Zhou ; Yuferova, Darya ; Zamojski, Marcin ; Zareei, Abalfazl ; Zeisberger, Stefan ; Zhang, Sarah ; Zhang, Xiaoyu ; Zhong, Zhuo ; Zhou, Z. Ivy ; Zhou, Chen ; Zhu, Xingyu Sonya ; Zoican, Marius ; Zwinkels, Remco C. J. ; Chen, Jian ; Duevski, Teodor ; Gao, Ge ; Gemayel, Roland ; Gilder, Dudley ; Kuhle, Paul ; Pagnotta, Emiliano ; Pelli, Michele ; Sönksen, Jantje ; Zhang, Lu ; Ilczuk, Konrad ; Bogoev, Dimitar ; Qian, Ya ; Wika, Hans C. ; Yu, Yihe ; Zhao, Lu ; Mi, Michael ; Bao, Li ; Vaduva, Andreea ; Prokopczuk, Marcel ; Avetikian, Alejandro ; Wu, Zhen-Xing
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sample. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.
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