ESG Investing and Stock Return Comovements
Prof. Jing XIE
Associate Professor
in Finance
FBA, UM
Date: 8 April 2025 (Tuesday)
Time: 13:00 to 14:00
Venue: FBA Lobby
Abstract
ESG has become a crucial consideration for asset managers in recent years. Consistent with the style investing model of Barberis and Shleifer (2003), we find that the stock returns of firms with improved ESG scores (Improvers) tend to comove significantly more with the returns of other high-ESG stocks and less with those of low-ESG stocks. The new phenomenon only emerged recently, is stronger for Improvers with more salient score changes, and cannot be explained by shared risk factors or similarities in firm fundamentals. Furthermore, flow-induced net purchases by high-ESG mutual funds increase the returns of high-ESG stocks, which reverses in the following month. The evidence suggests that investors’ increased focus on ESG has generated a new style factor that causes excess comovement of within-style asset returns.
Speaker
Jing Xie is an associate professor of finance at the University of Macau. He obtained his PhD in Finance from the National University of Singapore in 2015. He joined the University of Macau in Feb. 2023 and had worked as an assistant professor in finance at the Hong Kong Polytechnic University during 2015 and 2022. He currently serves as an Associate Editor for a leading international journal: Emerging Markets Review (ABS 2; ABDC: A). His research interests include empirical corporate finance, ESG investing, behavioral finance, and institutional investor behavior. His research has appeared in top-tier academic journals, including Journal of Financial Economics, The Accounting Review, Journal of Financial and Quantitative Analysis, Journal of Management Information Systems, Journal of Financial Intermediation, Journal of Corporate Finance, Journal of Banking & Finance, Journal of Business Finance & Accounting, and Journal of Financial Stability.
All are welcome!
