ESG news spillovers across the value chain
研究了ESG新闻冲击如何影响受影响企业的供应商和客户的股票收益，发现冲击在日内被定价，且对供应链上下游的间接扩散虽较慢但显著，对小企业和媒体关注度低的企业影响更大。
Abstract We document the impact of ESG shocks on the stock returns of suppliers and clients of affected firms. Our empirical analysis of US stocks, along with their global clients and suppliers, reveals that ESG shocks are integrated into prices intradaily and that the cross‐effect between shocks and ESG levels is statistically significant. The indirect diffusion of ESG shocks to customers' and suppliers' returns is also significant, but takes more time (a few days) and is less pronounced. Finally, the impact is stronger for small firms and for corporations that benefit from less media coverage. In addition, effects are more pronounced in the recent period (posterior to 2017), possibly due to increased investor attention toward sustainability.