ESG News Spillovers Across the Value Chain

39 Pages Posted: 13 Sep 2022 Last revised: 21 Mar 2023

See all articles by Vu Le Tran

Vu Le Tran

Gjensidige Pensjonsforsikring AS; Nord University

Guillaume Coqueret

EMLYON Business School

Multiple version iconThere are 2 versions of this paper

Date Written: January 31, 2023


We document the impact of ESG shocks on the stock returns of suppliers and clients of affected firms. Our empirical analysis of US stocks, along with their global clients and suppliers, reveals that ESG shocks are integrated into prices intra-daily and that a cross-effect between shocks and ESG levels is statistically significant. The indirect diffusion of ESG shocks to customers' and suppliers' returns is also significant, but takes more time (a few days) and is less pronounced. Finally, the impact is stronger for firms that are small and for those that benefit from less media coverage. In addition, effects are more pronounced in the recent period (posterior to 2017), possibly due to increased investor attention towards sustainability.

Keywords: ESG investing, sustainable finance, supply chain, spill-over effect

Suggested Citation

Tran, Vu Le and Coqueret, Guillaume, ESG News Spillovers Across the Value Chain (January 31, 2023). Available at SSRN: or

Vu Le Tran (Contact Author)

Gjensidige Pensjonsforsikring AS ( email )

Schweigaards gate 14
Oslo, 0185

Nord University ( email )

Universitetsalléen 11
8049 Bodo

Guillaume Coqueret

EMLYON Business School ( email )

23 Avenue Guy de Collongue
Ecully, 69132

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