The Pricing of ESG: Evidence From Overnight Return and Intraday Return
By featuring the link of investor heterogeneity to the persistence of the overnight and intraday components of returns, we examine the ESG–overnight (intraday) alpha relation in the Chinese stock market. The empirical results show that ESG score has a significantly negative effect on the expected st...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2022-07-01
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| Series: | Frontiers in Environmental Science |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fenvs.2022.927420/full |