Not so myopic: Investors lowering short-term growth expectations under high industry ESG-sales-related dynamism and predictability
研究发现行业ESG与销售关系的动态性和可预测性会降低企业隐含波动率，但高ESG评级的企业能缓解这种下降，表明投资者对低ESG企业的短期增长预期更悲观。
Past studies on the effects of environmental, social, and governance (ESG) scores on firm performance have found mixed support. To further unpack these findings, we focus on the effects of industry-level dynamism and the predictability of ESG scores on sales and investor expectations on the prospects of firm growth. Dynamism (predictability) is based on the standard error (R-squared) of industry ESG ratings regressed on industry sales. Taking an investor’s perspective, we focus on a forward-looking performance measure, specifically, the implied volatility in a firm’s 365-day at-the-money call options. Our findings show that although industry ESG-sales dynamism and predictability lower a firm’s implied volatility, a higher firm-level ESG rating mitigates the decline in the implied volatility under increasing ESG-sales dynamism. The findings show that investors expect lower short-term growth potential of industry firms with experimentation in leveraging ESG to increase sales (i.e., dynamism) and only lower their discounts in growth expectations for firms with higher ESG scores. The industry-level dynamics among ESG scores and sales and investor growth expectations in the form of implied volatility are added considerations in studying ESG and performance relationships.