Skills and Sentiment in Sustainable Investing

58 Pages Posted: 2 Mar 2020 Last revised: 28 Apr 2021

See all articles by Andreas Brøgger

Andreas Brøgger

Copenhagen Business School

Alexander Kronies

Copenhagen Business School

Date Written: February 1, 2020

Abstract

We document a positive ESG premium among stocks with a low degree of socially-motivated investor ownership. We show that a theory of sustainable investing with heterogeneous skill and sustainability sentiment can explain this finding. In support of this explanation, we find in the cross-section that a low degree of socially-motivated ownership leads to future ESG score increases. The premium amongst low degree of socially-motivated ownership is stronger during periods of high climate sentiment and risk aversion as in the crisis.

Keywords: Heterogenous Investors, Revealed Preferences, ESG, Sentiment, Text Data

JEL Classification: G11, G12, G14, Q5

Suggested Citation

Brøgger, Andreas Christian Svane and Kronies, Alexander, Skills and Sentiment in Sustainable Investing (February 1, 2020). Available at SSRN: https://ssrn.com/abstract=3531312 or http://dx.doi.org/10.2139/ssrn.3531312

Andreas Christian Svane Brøgger (Contact Author)

Copenhagen Business School ( email )

Solbjerg Plads 3
Frederiksberg, Frederiksberg 2000

Alexander Kronies

Copenhagen Business School ( email )

Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark

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