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政大機構典藏 > 商學院 > 財務管理學系 > 會議論文 > Item 140.119/135406

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/135406

Title:	Do investors exaggerate corporate ESG information? Evidence from ESG-momentum effect in Taiwanese market
Authors:	陳鴻毅 Chen, Hong-Yi Yang, Sharon S.
Contributors:	財管系
Keywords:	ESGESG momentum strategy;Excessive extrapolation;Investor sentiment;Momentum strategy;Overreaction hypothesis
Date:	2019-05
Issue Date:	2021-06-02 09:22:21 (UTC+8)
Abstract:	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
Data Type:	conference
DOI 連結:	https://doi.org/10.1016/j.pacfin.2020.101407
Appears in Collections:	[財務管理學系] 會議論文

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