Horn, M., Oehler, A., Dabbous, A., Croutzet, A., 2023, The Relation between Environmental Awareness and Stock Returns; Future Finance and Economics Association 2nd Conference on INternational Finance; Sustainable and Climate Finance and Growth, June 18-20; 1st Conference on Sustainable Banking & Finance 2023, June 18-20; Operations Research 2023, August 29 - September 1; Psychonomic Society 2023 Annual Meeting, November 16-19.

Abstract
We assess if a measure of global environmental awareness can forecast stock returns and whether stocks of more environmentally friendly companies show higher returns than those of less environmentally friendly companies when environmental awareness among investors increases. The E-pillar score of Sustainalytics’ ESG rating is used to proxy how environmentally friendly companies are. On average, individual stocks with a higher E-pillar score show lower returns and alphas. When climate change concerns rise unexpectedly, stocks with higher E-pillar score reduce the differences in returns and alphas or show even higher returns and alphas than stocks with lower E-pillar score.

Keywords

Environmental awareness; ESG; Green Finance; Sustainable Finance; Climate Change

JEL Classifications

G11, G12, G17, Q50, Q51

Auch:

Dabbous, A., Horn, M., Croutzet, A. (2023), Measuring Environmental Awareness: An Analysis Using Google Search Data; Journal of Environmental Management 346, 118984.