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 |
| _version_ | 1817979333268996096 |
|---|---|
| author | Xiaoqun Liu Changrong Yang Youcong Chao |
| author_facet | Xiaoqun Liu Changrong Yang Youcong Chao |
| author_sort | Xiaoqun Liu |
| collection | DOAJ |
| description | 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 stock overnight returns in Fama–MacBeth regression. Consistently, given the biggest market capitalization and the least illiquidity subsamples, the trading strategies by going long (short) the top (bottom) ESG quintile would yield negative profits. In addition, we conduct the implication of the ESG pricing by dividing the full sample into green stock subsample and sin stock subsample, and the empirical results present that the ESG pricing is pervasive of the green-type stocks. These conclusions verify the pricing of ESG and support the conjecture that green stocks have lower expected returns because ESG investors value sustainability. |
| first_indexed | 2024-04-13T22:41:32Z |
| format | Article |
| id | doaj.art-0b479e4ea453497b85e8eae8a6548ce7 |
| institution | Directory Open Access Journal |
| issn | 2296-665X |
| language | English |
| last_indexed | 2024-04-13T22:41:32Z |
| publishDate | 2022-07-01 |
| publisher | Frontiers Media S.A. |
| record_format | Article |
| series | Frontiers in Environmental Science |
| spelling | doaj.art-0b479e4ea453497b85e8eae8a6548ce72022-12-22T02:26:36ZengFrontiers Media S.A.Frontiers in Environmental Science2296-665X2022-07-011010.3389/fenvs.2022.927420927420The Pricing of ESG: Evidence From Overnight Return and Intraday ReturnXiaoqun Liu0Changrong Yang1Youcong Chao2Hainan University, Haikou, ChinaHainan University, Haikou, ChinaNorth China Institute of Aerospace Engineering, Langfang, ChinaBy 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 stock overnight returns in Fama–MacBeth regression. Consistently, given the biggest market capitalization and the least illiquidity subsamples, the trading strategies by going long (short) the top (bottom) ESG quintile would yield negative profits. In addition, we conduct the implication of the ESG pricing by dividing the full sample into green stock subsample and sin stock subsample, and the empirical results present that the ESG pricing is pervasive of the green-type stocks. These conclusions verify the pricing of ESG and support the conjecture that green stocks have lower expected returns because ESG investors value sustainability.https://www.frontiersin.org/articles/10.3389/fenvs.2022.927420/fullESG pricingovernight returntrading strategyFama–MacBeth regressiongreen stock |
| spellingShingle | Xiaoqun Liu Changrong Yang Youcong Chao The Pricing of ESG: Evidence From Overnight Return and Intraday Return Frontiers in Environmental Science ESG pricing overnight return trading strategy Fama–MacBeth regression green stock |
| title | The Pricing of ESG: Evidence From Overnight Return and Intraday Return |
| title_full | The Pricing of ESG: Evidence From Overnight Return and Intraday Return |
| title_fullStr | The Pricing of ESG: Evidence From Overnight Return and Intraday Return |
| title_full_unstemmed | The Pricing of ESG: Evidence From Overnight Return and Intraday Return |
| title_short | The Pricing of ESG: Evidence From Overnight Return and Intraday Return |
| title_sort | pricing of esg evidence from overnight return and intraday return |
| topic | ESG pricing overnight return trading strategy Fama–MacBeth regression green stock |
| url | https://www.frontiersin.org/articles/10.3389/fenvs.2022.927420/full |
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