ESG Risk Exposure: A Tale of Two Tails

67 Pages Posted: 5 May 2023

See all articles by Runfeng Yang

Runfeng Yang

Università Ca' Foscari Venezia

Massimiliano Caporin

University of Padua - Department of Statistical Sciences

Juan-Angel Jiménez-Martin

Complutense University of Madrid

Abstract

This paper studies the ESG impact to the downside risk of companies in the US market by introducing a novel measure, the ESG risk contribution (1CoESGRisk). 1CoESGRisk is a measurement based on the co-movement between the ESG risk factor and the downside risk. When there is a sudden increase in the ESG risk factor, the downside risk of highESG companies is reduced. However, under extreme conditions, the downside risk of highESG companies could also be increased, due to the increased volatility. The ESG impact is positively correlated with the ESG performance and size, and it varies among sectors.

Keywords: ESG, ESG Risk Factor, Fama/MacBeth Risk Factor, Quantile Regression, Co-

Suggested Citation

Yang, Runfeng and Caporin, Massimiliano and Jiménez-Martin, Juan-Angel, ESG Risk Exposure: A Tale of Two Tails. Available at SSRN: https://ssrn.com/abstract=4439473 or http://dx.doi.org/10.2139/ssrn.4439473

Runfeng Yang

Università Ca' Foscari Venezia ( email )

Venice
Italy

Massimiliano Caporin

University of Padua - Department of Statistical Sciences ( email )

Via Battisti, 241
Padova, 35121
Italy

Juan-Angel Jiménez-Martin (Contact Author)

Complutense University of Madrid ( email )

Complutense University of Madrid
Campus de somosaguas
Pozuelo de Alarcon, Madrid 28223
Spain
+34 91 3942355 (Phone)

HOME PAGE: http://www.ucm.es/fundamentos-analisis-economico2/jajm

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