Résumés
Abstract
This study investigates how news-based scores in ESG (Environmental, Social, and corporate Governance) may have influenced the monthly stocks’ market return in Switzerland, the US, and the UK during the 2007–2011 period. We find that the variation of the overall ESG score is only significant in the UK. We also show that the changes in sub-category ratings of GRI (namely, governance, economic, environment, labor, human rights, society, and products) exhibit a small but significant impact on the stock’s performance during limited periods or on limited sectors, which varies among the countries. Finally, our non-parametric kernel regression highlights that the function linking a stock’s performance to its ESG-score changes is probably non-linear.
Keywords:
- ESG,
- performance,
- score,
- information,
- stock,
- GRI
Résumé
Cette étude examine dans quelle mesure les informations ESG (Environnement, Social et Gouvernance d’entreprise), agrégées sous forme de scores, peuvent influencer les rendements mensuels des actions sur les marchés en Suisse, aux États-Unis, et au Royaume-Uni, au cours de la période 2007-2011. Nous constatons que la variation de la note globale ESG n’est significative qu’au Royaume-Uni. Nous montrons également que les changements dans les sous-catégories de notes du GRI (à savoir, la gouvernance, l’économie, l’environnement, le travail, les droits humains, la société et les produits) présentent un impact faible mais significatif sur la performance des actions, mais seulement sur des périodes restreintes ou pour des secteurs limités, qui varient contextuellement selon les pays. Enfin, notre régression non-paramétrique met en évidence la non-linéarité probable de la fonction reliant la performance d’une action à ses changements de score ESG.
Mots-clés :
- ESG,
- performance,
- score,
- information,
- action,
- GRI
Resumen
Este estudio investiga cómo las noticias basadas en puntuaciones en ESG (Enviromental, Social & Governance Index) pueden haber influido en la rentabilidad mensual de los valores de las empresas en Suiza, los EE.UU. y el Reino Unido durante el período 2007-2011. Los resultados muestran que la variación de la puntuación globalen ESG sólo es significativa en el Reino Unido. Además los resultados también muestran que los cambios de clasificación en las subcategorías (es decir, la gobernanza, la economía, el medio ambiente, el trabajo, los derechos humanos, la sociedad y los productos) presenta un pequeño pero significativo impacto en el rendimiento de las acciones durante períodos limitados o en sectores limitados, los cuales varían en los distintos países. Por último, nuestra regresión no paramétrica Kernel subraya que la función que relaciona el rendimiento en bolsa con los cambios en las puntuaciones ESG es probablemente no lineal.
Palabras clave:
- ESG,
- rendimiento,
- puntuación,
- información,
- acciones,
- GRI
Parties annexes
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