ESG, liquidity, and stock returns
研究了英国市场中ESG评分对股票收益的影响，发现低ESG公司收益更高，且ESG溢价主要存在于低流动性股票中，表明ESG可能与股票流动性相关。
We examine the effect of environment, social, and governance (ESG) score on stock returns in the United Kingdom (UK). Consistent with Hong and Kacperczyk (2009), Bolton and Kacperczyk (2021), and Pedersen et al. (2021), firms with lower ESG earn higher returns than those with higher ESG. The environment and social premiums are more pronounced than the ESG premium. To understand the premium, we show that the ESG premium is significant for low liquidity securities but not for high liquidity securities, which suggests that ESG is likely associated with stock liquidity.