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How Does ESG Information Affect Stocks' Cost of Capital?

dc.contributor.authorChien, Vic
dc.contributor.chairNg, Daviden_US
dc.contributor.committeeMemberTurvey, Calumen_US
dc.date.accessioned2024-04-05T18:36:21Z
dc.date.available2024-04-05T18:36:21Z
dc.date.issued2023-08
dc.description32 pagesen_US
dc.description.abstractI 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.doihttps://doi.org/10.7298/e6vm-gb21
dc.identifier.otherChien_cornell_0058O_11817
dc.identifier.otherhttp://dissertations.umi.com/cornell:11817
dc.identifier.urihttps://hdl.handle.net/1813/114464
dc.language.isoen
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.titleHow Does ESG Information Affect Stocks' Cost of Capital?en_US
dc.typedissertation or thesisen_US
dcterms.licensehttps://hdl.handle.net/1813/59810.2
thesis.degree.disciplineApplied Economics and Management
thesis.degree.grantorCornell University
thesis.degree.levelMaster of Science
thesis.degree.nameM.S., Applied Economics and Management

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