Abstract

ABSTRACT This letter examines whether ESG controlled by firms’ interest in their image explains the cross-section of expected stock returns. We use the LASSO method to select useful factors that explain the stock market dynamics. The controlled ESG factor yields significant alpha and some explanatory power for expected returns after controlling for both the selected and other well-known factors.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call