The Pricing of ESG: Evidence From Overnight Return and Intraday Return

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...

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Bibliographic Details
Main Authors: Xiaoqun Liu, Changrong Yang, Youcong Chao
Format: Article
Language:English
Published: Frontiers Media S.A. 2022-07-01
Series:Frontiers in Environmental Science
Subjects:
ESG pricing
overnight return
trading strategy
Fama–MacBeth regression
green stock
Online Access:https://www.frontiersin.org/articles/10.3389/fenvs.2022.927420/full

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