• Corpus ID: 55650196

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

@article{Sodjahin2018AreCI,
  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},
  year={2018},
  volume={22}
}
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… 
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