ESG Preference and Market Efficiency: Evidence from Mispricing and Institutional Trading
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摘要We explore how the trend towards socially responsible investing affects the informational efficiency of stock prices. The return predictability of mispricing signals is much stronger among firms held by more socially responsible institutions (SR_Is). The results are driven by the divergence of trading implications from ESG performance and mispricing signals. SR_Is are less likely to buy underpriced stocks with bad ESG performance or sell overpriced stocks with good ESG performance. We rule out alternatives, such as known limits to arbitrage. The inefficiency only emerges in recent years with the rise of ESG investing, and is not fully offset by ESG-neutral arbitrageurs due to funding liquidity constraints.
著者Jie Cao, Sheridan Titman, Xintong Zhan, Weiming Zhang
會議名稱Finance Down Under Conference
會議開始日07.03.2019
會議完結日09.03.2019
會議地點Melbourne
會議國家/地區澳大利亞
出版年份2019
月份3
語言美式英語

上次更新時間 2020-19-05 於 16:48