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    题名: Do Investors Exaggerate Corporate ESG Information? Evidence from the ESG Momentum Effect in the Taiwanese Market
    作者: 楊曉文
    Yang, Sharon S.
    Chen, Hong-Yi
    贡献者: 金融系
    关键词: ESG;ESG momentum strategy;Excessive extrapolation;Investor sentiment;Momentum strategy;Overreaction hypothesis
    日期: 2020-08
    上传时间: 2021-01-28
    摘要: As environmental, social, and governance (ESG) factors become increasingly important in the business sector, investors pay more attention to corporate ESG information. Integrating ESG factors into the investment process has transformed from a niche to mainstream activity. This study demonstrates that investors systematically exaggerate corporate ESG information, leading to ESG momentum effects in financial markets. Specifically, investors exhibit optimistic responses to good news about companies with higher ESG scores but pessimistic responses to bad news about companies with lower ESG scores. Consistent with the overreaction hypothesis, the empirical results show that an ESG momentum strategy can lead to substantial profits in the short run and reversals in the long run. Moreover, this study reveals that investors overreact to the environmental factor more than social or governance factors.
    關聯: Pacific-Basin Finance Journal, Volume 63, October 2020, 101407
    数据类型: article
    DOI 連結: https://doi.org/10.1016/j.pacfin.2020.101407
    DOI: 10.1016/j.pacfin.2020.101407
    显示于类别:[金融學系] 期刊論文

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