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ESG news and long-run stock returns

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  • Vu, Thanh Nam
  • Junttila, Juha-Pekka
  • Lehkonen, Heikki

Abstract

This paper investigates the persistence of ESG news' effects on US stock returns. Utilizing a rolling-portfolio approach to calculate overlapping returns of news-based portfolios, extending up to twelve months post-news release, we find that market reactions to ESG news are fleeting and reversing within a month in the most recent sample period. This suggests ESG news has no enduring influence on stock returns. Notably, the reactions are prominent for social and governance themes but not for environmental-related news. This study is one of the first attempts to understand how ESG news can affect a company's value over the long term.

Suggested Citation

  • Vu, Thanh Nam & Junttila, Juha-Pekka & Lehkonen, Heikki, 2024. "ESG news and long-run stock returns," Finance Research Letters, Elsevier, vol. 60(C).
    • Handle: RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012874
    DOI: 10.1016/j.frl.2023.104915
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    References listed on IDEAS

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    More about this item

    Keywords

    ESG news; ESG investing; Market reactions; Sustainability;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General

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