The Role of ESG Factor in Stock Clustering Based on Risk-Return-Liquidity Dimensions
Identifikátory výsledku
Kód výsledku v 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>
Nalezeny alternativní kódy
RIV/00216224:14560/25:00140149 RIV/62156489:43110/25:43926289
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
The Role of ESG Factor in Stock Clustering Based on Risk-Return-Liquidity Dimensions
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
The Role of ESG Factor in Stock Clustering Based on Risk-Return-Liquidity Dimensions
Popis výsledku anglicky
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.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50204 - Business and management
Návaznosti výsledku
Projekt
—
Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Ostatní
Rok uplatnění
2025
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
The North American Journal of Economics and Finance
ISSN
1062-9408
e-ISSN
1879-0860
Svazek periodika
76
Číslo periodika v rámci svazku
January 2025
Stát vydavatele periodika
US - Spojené státy americké
Počet stran výsledku
21
Strana od-do
1-21
Kód UT WoS článku
001403521800001
EID výsledku v databázi Scopus
2-s2.0-85213059476