政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/133814

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113656/144643 (79%)
Visitors : 51725967 Online Users : 607

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/133814

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/133814

Title:	Do Investors Exaggerate Corporate ESG Information? Evidence from the ESG Momentum Effect in the Taiwanese Market
Authors:	楊曉文 Yang, Sharon S. Chen, Hong-Yi
Contributors:	金融系
Keywords:	ESG;ESG momentum strategy;Excessive extrapolation;Investor sentiment;Momentum strategy;Overreaction hypothesis
Date:	2020-08
Issue Date:	2021-01-28
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:	Pacific-Basin Finance Journal, Volume 63, October 2020, 101407
Data Type:	article
DOI link:	https://doi.org/10.1016/j.pacfin.2020.101407
DOI:	10.1016/j.pacfin.2020.101407
Appears in Collections:	[Department of Money and Banking] Periodical Articles

Files in This Item:

File	Description	Size	Format
195.pdf		273Kb	Adobe PDF2	271	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...