ESG risk exposure: a tale of two tails
提出ESG风险贡献指标，研究美国市场中ESG因素对公司下行风险的影响，发现高ESG公司在ESG风险因子骤增时下行风险降低，但在极端条件下因波动性增加反而上升。
This paper studies the ESG impact to the downside risk of companies in the US market by introducing a novel measure, the ESG risk contribution (ΔCoESGRisk). ΔCoESGRisk is a measurement based on the co-movement between the ESG risk factor and the downside risk. When there is a sudden increase in the ESG risk factor, the downside risk of high-ESG companies is reduced. However, under extreme conditions, the downside risk of high-ESG companies could also be increased, due to the increased company volatility. The ESG impact is positively correlated with the ESG performance and size, and it varies among sectors.