Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 1, 2021 erstellt
Beschreibung:
We constructed an ESG investors’ sentiment Index (ESG-ISX) that reflects four key components: (1) governance: gap between women and men in labor participation and pay; (2) sustainability: renewable energy production; (3) environment: global warming index; and (4) ESG google search sentiment. Applying the ESG-ISX monthly index data between 1/2004 and 7/2021, we find it is increasing with a convex fashion, and comoves with key financial indicators, such as, companies’ cost of capital. The raise of ESG investors’ sentiment has implication at the household and stock market levels. At the household level, it increases the stock market participation; causes households to allocate more in risky assets, and mitigate this additional risk by increasing the number of stocks in their portfolio, hence, more diversification. At the stock market level, we show that the overall impact in equity prices is diminishing in recent years, and the raise of ESG-ISX increases the consensus and agreement among investors, as such, we suggest it has implication on the stock market volatility