The Role of ESG Factor in Stock Clustering Based on Risk-Return-Liquidity Dimensions
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F44555601%3A13510%2F25%3A43898978" target="_blank" >RIV/44555601:13510/25:43898978 - isvavai.cz</a>
Alternative codes found
RIV/00216224:14560/25:00140149 RIV/62156489:43110/25:43926289
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1062940824002754" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1062940824002754</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.najef.2024.102350" target="_blank" >10.1016/j.najef.2024.102350</a>
Alternative languages
Result language
angličtina
Original language name
The Role of ESG Factor in Stock Clustering Based on Risk-Return-Liquidity Dimensions
Original language description
ESG stocks exhibit discernible attributes that encompass both financial and non-financial considerations. Our study examines whether ESG stocks provide unique characteristics in terms of return, risk, and liquidity. We use a multivariate statistical approach to analyze the ESG ratings of S&P 1200 stocks from seven major data providers and their structural combinations. The findings indicate the absence of a general systematic effect over seven consecutive years. Still, unidimensional scores, particularly Governance, demonstrate greater significance compared to multidimensional indicators, suggesting the financial importance of core ESG information and its usefulness in financial decision-making. Besides, we discuss the effect of specific events and investors? understanding of ESG scores? representation. Although the article argues for a substantial overlap between traditional financial analysis and the core features of the Governance dimension, ESG may not emerge as a dominant factor in stock clustering and, thus, cannot be recognized as a separate sub-asset class indicator.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50204 - Business and management
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
The North American Journal of Economics and Finance
ISSN
1062-9408
e-ISSN
1879-0860
Volume of the periodical
76
Issue of the periodical within the volume
January 2025
Country of publishing house
US - UNITED STATES
Number of pages
21
Pages from-to
1-21
UT code for WoS article
001403521800001
EID of the result in the Scopus database
2-s2.0-85213059476