• Corpus ID: 55650196

Are Changes in Extra-Financial Ratings a (Un) Sustainable Source of Abnormal Returns?

  title={Are Changes in Extra-Financial Ratings a (Un) Sustainable Source of Abnormal Returns?},
  author={Amos Sodjahin and Claudia Champagne and Frank Coggins},
  journal={Academy of Accounting and Financial Studies Journal},
Using a conditional asset pricing model approach, this study investigates how the Canadian stock market reacts to changes in extra-financial ratings related to environmental social and governance (ESG) factors. Our results suggest that upgrades (downgrades) in CSR ratings lead to long-term negative (positive) abnormal returns (alpha). This result is consistent with the notion that the expected stock return or cost of capital must be lower (higher) for socially responsible (irresponsible) firms… 

Tables from this paper

Let’s Get Explicit: The Emergence of Impact-Linked Returns in the Commercial Debt Market
  • Lars Boggild
  • Economics, Business
    Innovations in Social Finance
  • 2021
While impact investments place value on positive impact alongside financial returns, how those attributes are prioritized within investment decision-making varies drastically. How investors manage
Environmental Risk Management (ERM) Through a Kaleidoscope Theoretical Approach
This paper explores the environmental risks within the institutional, the business management and the stakeholders’ dimensions through a critical qualitative approach. The research is carried out
Accounting for Sustainability Governance: The Enabling Role of Social and Environmental Accountability Research
  • L. Rinaldi
  • Business
    Social and Environmental Accountability Journal
  • 2019
ABSTRACT The purpose of this paper is to critically examine the concerns inherent in governance for the achievement of sustainability. The paper provides insights into the challenges and tools as


Corporate Goodness and Shareholder Wealth
Using a unique data set, I study how stock markets react to positive and negative events concerned with a firm׳s corporate social responsibility (CSR). I show that investors respond strongly
Leading or lagging indicators of risk? The informational content of extra-financial performance scores
This study investigates the informational content of extra-financial agency scoring by examining the relationship between firm beta and extra-financial performance score upgrades and downgrades.
Measuring Fund Strategy and Performance in Changing Economic Conditions
The use of predetermined variables to represent public information and time-variation has produced new insights about asset pricing models but the literature on mutual fund performance has not
The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis
This study focuses on the wealth-protective effects of socially responsible firm behavior by examining the association between corporate social performance (CSP) and financial risk for an extensive
Corporate Social Performance and Stock Returns: UK Evidence from Disaggregate Measures
This study examines the relation between corporate social performance and stock returns in the UK. We closely evaluate the interactions between social and financial performance with a set of
Are Member Firms of Corporate Groups Less Risky
"The evidence we uncover suggests that the practice of profit and risk sharing among keiretsu firms reduces the firm level idiosyncratic risk. However, rather than eliminating firm-level risk, it is
Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices
Common risk factors in the returns on stocks and bonds