IDEAS home Printed from https://ideas.repec.org/a/taf/jsustf/v12y2022i4p1045-1068.html
   My bibliography  Save this article

How material is a material issue? Stock returns and the financial relevance and financial intensity of ESG materiality

Author

Listed:
  • Costanza Consolandi
  • Robert G. Eccles
  • Giampaolo Gabbi

Abstract

This paper investigates the role of the intensity and relevance of ESG materiality in equity returns. Adopting the classifications of materiality provided by the Sustainability Accounting Standards Board (SASB), the paper introduces the concept of the financial relevance and financial intensity of ESG materiality in order to estimate how it explains equity returns. The results of the analysis, based on a large sample of U.S. companies included in the Russell 3000 from January 2008 to July 2019 show that not only do ESG rating changes (ESG momentum) have a consistent impact on equity performance, but also that the market seems to reward more those companies operating in industries with a high level of concentration of ESG materiality. The implication is that the equity premium of listed companies is better explained by the concentration of material issues (i.e. the Gini index) than by the ESG momentum.

Suggested Citation

  • Costanza Consolandi & Robert G. Eccles & Giampaolo Gabbi, 2022. "How material is a material issue? Stock returns and the financial relevance and financial intensity of ESG materiality," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 12(4), pages 1045-1068, October.
    • Handle: RePEc:taf:jsustf:v:12:y:2022:i:4:p:1045-1068
    DOI: 10.1080/20430795.2020.1824889
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/20430795.2020.1824889
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/20430795.2020.1824889?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dewan Muktadir‐Al‐Mukit & Firoz Haroon Bhaiyat, 2024. "Impact of corporate governance diversity on carbon emission under environmental policy via the mandatory nonfinancial reporting regulation," Business Strategy and the Environment, Wiley Blackwell, vol. 33(2), pages 1397-1417, February.
    2. Dinh, Minh Thi Hong, 2023. "ESG, time horizons, risks and stock returns," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Sariyer, Gorkem & Kumar Mangla, Sachin & Chowdhury, Soumyadeb & Erkan Sozen, Mert & Kazancoglu, Yigit, 2024. "Predictive and prescriptive analytics for ESG performance evaluation: A case of Fortune 500 companies," Journal of Business Research, Elsevier, vol. 181(C).
    4. Erhemjamts, Otgontsetseg & Huang, Kershen & Tehranian, Hassan, 2024. "Climate risk, ESG performance, and ESG sentiment in US commercial banks," Global Finance Journal, Elsevier, vol. 59(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jsustf:v:12:y:2022:i:4:p:1045-1068. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/TSFI20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.