How Does ESG Information Affect Stocks' Cost of Capital?
dc.contributor.author | Chien, Vic | |
dc.contributor.chair | Ng, David | en_US |
dc.contributor.committeeMember | Turvey, Calum | en_US |
dc.date.accessioned | 2024-04-05T18:36:21Z | |
dc.date.available | 2024-04-05T18:36:21Z | |
dc.date.issued | 2023-08 | |
dc.description | 32 pages | en_US |
dc.description.abstract | I examine the causal effect of Environment, Social, and Governance (ESG) information on the cost of capital of U.S. stocks using a quasi-natural experiment. Exploiting the discontinuity in the mapping mechanism of a ESG score to a ESG rating, I conduct Regression Discontinuity Design tests around each ESG score threshold, comparing the ex-ante cost of capital of stocks with similar ESG scores but distinct ESG ratings. I find that a negative change in the ESG rating has a positive impact on the cost of capital of stocks on the highest-rating ESG stocks. The effect reversed for the lowest-rating ESG stocks. The finding is broadly coherent with the argument in the existing literature that high ESG stocks have lower expected returns, and further suggests a hump-shape relationship between ESG information and stock ex-ante cost of capital. | en_US |
dc.identifier.doi | https://doi.org/10.7298/e6vm-gb21 | |
dc.identifier.other | Chien_cornell_0058O_11817 | |
dc.identifier.other | http://dissertations.umi.com/cornell:11817 | |
dc.identifier.uri | https://hdl.handle.net/1813/114464 | |
dc.language.iso | en | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 International | * |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.title | How Does ESG Information Affect Stocks' Cost of Capital? | en_US |
dc.type | dissertation or thesis | en_US |
dcterms.license | https://hdl.handle.net/1813/59810.2 | |
thesis.degree.discipline | Applied Economics and Management | |
thesis.degree.grantor | Cornell University | |
thesis.degree.level | Master of Science | |
thesis.degree.name | M.S., Applied Economics and Management |
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