Corporate ESG News and The Stock Market

46 Pages Posted: 29 Dec 2020

See all articles by Walid Taleb

Walid Taleb

Ecole Centrale Marseille; Université de Paris

Théo Le Guenedal

CREST - ENSAE

Frederic Lepetit

Amundi Asset Management

Vincent Mortier

Amundi Asset Management

Takaya Sekine

Amundi Asset Management

Lauren Stagnol

Amundi Asset Management

Date Written: October 30, 2020

Abstract

ESG investing's popularity has continually increased in the past five years. ESG data is increasingly integrated into investment processes. However, the information contained in ESG-related news for corporates has not been entirely exploited by institutional and long-only investors. The objective of this paper is to identify the benefits of ESG news information for active and factor-based investors. Indeed, one of the issues with ESG is the low frequency of score updates. For active management, we analyze ESG-sorted portfolios in investment universes filtered by ESG news volume. Metrics of ESG-related news are sourced from Truvalue Labs, a provider of Artificial Intelligence-powered ESG insights and analytics. We find that the approach of a universe focused on ESG news of corporates has been efficient in the early 2010s on the lower ESG-ranked side of the universe, but also on the higher ESG rank. More recently, it has positively contributed to more dynamic approaches of ESG investing. Finally, increasing the sensitivity to the highly visible SDGs significantly improves the return of ESG long-short portfolios.

Keywords: ESG, ESG sentiment, ESG materiality, SASB, SDG, multi-factor models, NLP

JEL Classification: C38, M14, Q56

Suggested Citation

Taleb, Walid and Le Guenedal, Théo and Lepetit, Frederic and Mortier, Vincent and Sekine, Takaya and Stagnol, Lauren, Corporate ESG News and The Stock Market (October 30, 2020). Available at SSRN: https://ssrn.com/abstract=3723799 or http://dx.doi.org/10.2139/ssrn.3723799

Walid Taleb

Ecole Centrale Marseille ( email )

Technopole de Chateau-Gombert
Marseille, 13013
France

Université de Paris ( email )

Paris, 75013
France

Théo Le Guenedal

CREST - ENSAE ( email )

France

Frederic Lepetit

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

Vincent Mortier

Amundi Asset Management

90 Boulevard Pasteur
Paris, 75015
France

Takaya Sekine (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

Lauren Stagnol

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

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