ESG Risk Premia Measured with Contingent Claims
The study suggests a method to calculate ESG risk premiums using market data, revealing a significant link between ESG scores and asset process volatility and drift terms, indicating ESG factors impact company value.
Featured in No. 22 on 18 Oct 2023 · 6 days after release
- Released
- 12 Oct 2023
- First featured
- No. 22 · 18 Oct 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 16
- Identifier
- SSRN 4600795
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).