ESG and Risk: Global Evidence of Nonlinear Relation
研究了全球9000多家上市公司中ESG实践与股票波动性之间的非线性关系，发现ESG总体上降低长期波动，但环境与治理升级可能短期增加波动，且边际风险降低效果存在阈值。
ABSTRACT This paper investigates how Environmental, Social, and Governance (ESG) practices are related to firms' financial risk, proxied by stock return volatility. Although prior research has extensively documented links between ESG and firm value, the financial risk, particularly its nonlinear and heterogeneous features, remains less understood. Using a unique proprietary ESG dataset from Bridgewise (2014–2023), which discloses the underlying components and weights of ESG scores, merged with financial indicators from Capital IQ, we analyze over 9000 publicly traded firms worldwide. Our multimethod framework combines fixed effects regressions, dynamic panel estimators (Arellano–Bond GMM), quantile regressions, and robustness checks using alternative volatility measures (EWMA and GARCH). The results confirm that, on average, stronger ESG engagement is associated with lower long‐term volatility, with a more pronounced risk reduction among firms with higher baseline risk. However, we uncover nonlinear patterns: Environmental and governance upgrades can coincide with temporary increases in volatility during implementation, and the marginal risk‐mitigating effect of ESG declines beyond certain score thresholds. These findings indicate that ESG should not be treated as a homogeneous construct and clarify when, and through which practices, sustainability operates as an effective risk‐management channel in global capital markets.