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| Title | Do investors exaggerate corporate ESG information? Evidence from ESG-momentum effect in Taiwanese market |
| Creator | 陳鴻毅 Chen, Hong-Yi Yang, Sharon S. |
| Contributor | 財管系 |
| Key Words | ESGESG momentum strategy; Excessive extrapolation; Investor sentiment; Momentum strategy; Overreaction hypothesis |
| Date | 2019-05 |
| Date Issued | 2-Jun-2021 09:22:21 (UTC+8) |
| Summary | As environmental, social, and governance (ESG) factors become increasingly important in the business sector, investors pay more attention to corporate ESG information. Integrating ESG factors into the investment process has transformed from a niche to mainstream activity. This study demonstrates that investors systematically exaggerate corporate ESG information, leading to ESG momentum effects in financial markets. Specifically, investors exhibit optimistic responses to good news about companies with higher ESG scores but pessimistic responses to bad news about companies with lower ESG scores. Consistent with the overreaction hypothesis, the empirical results show that an ESG momentum strategy can lead to substantial profits in the short run and reversals in the long run. Moreover, this study reveals that investors overreact to the environmental factor more than social or governance factors. |
| Relation | FeAT 2019 Annual Conference, FeAT |
| Type | conference |
| DOI | https://doi.org/10.1016/j.pacfin.2020.101407 |
| dc.contributor | 財管系 | - |
| dc.creator (作者) | 陳鴻毅 | - |
| dc.creator (作者) | Chen, Hong-Yi | - |
| dc.creator (作者) | Yang, Sharon S. | - |
| dc.date (日期) | 2019-05 | - |
| dc.date.accessioned | 2-Jun-2021 09:22:21 (UTC+8) | - |
| dc.date.available | 2-Jun-2021 09:22:21 (UTC+8) | - |
| dc.date.issued (上傳時間) | 2-Jun-2021 09:22:21 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/135406 | - |
| dc.description.abstract (摘要) | As environmental, social, and governance (ESG) factors become increasingly important in the business sector, investors pay more attention to corporate ESG information. Integrating ESG factors into the investment process has transformed from a niche to mainstream activity. This study demonstrates that investors systematically exaggerate corporate ESG information, leading to ESG momentum effects in financial markets. Specifically, investors exhibit optimistic responses to good news about companies with higher ESG scores but pessimistic responses to bad news about companies with lower ESG scores. Consistent with the overreaction hypothesis, the empirical results show that an ESG momentum strategy can lead to substantial profits in the short run and reversals in the long run. Moreover, this study reveals that investors overreact to the environmental factor more than social or governance factors. | - |
| dc.format.extent | 625108 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | FeAT 2019 Annual Conference, FeAT | - |
| dc.subject (關鍵詞) | ESGESG momentum strategy; Excessive extrapolation; Investor sentiment; Momentum strategy; Overreaction hypothesis | - |
| dc.title (題名) | Do investors exaggerate corporate ESG information? Evidence from ESG-momentum effect in Taiwanese market | - |
| dc.type (資料類型) | conference | - |
| dc.doi.uri (DOI) | https://doi.org/10.1016/j.pacfin.2020.101407 | - |