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ESG Investing During Calm and Crisis: Evidence from Option-Implied Expected Returns

https://doi.org/10.2139/ssrn.5417018
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Testing inequality constraints in linear econometric models
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A five-factor asset pricing model
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Sustainable investing in equilibrium
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Do Investors Care about Carbon Risk?
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Validity, tightness, and forecasting power of risk premium bounds
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Dissecting green returns
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What is the Expected Return on the Market?*
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Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash
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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
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Does Family Control Matter? International Evidence from the 2008–2009 Financial Crisis
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A Bound on Expected Stock Returns
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Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03818.xopenalex-snapshot
The Delisting Bias in CRSP Data
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ESG did not immunize stocks during the COVID‐19 crisis, but investments in intangible assets did
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Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis
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What Is the Expected Return on a Stock?
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The Pollution Premium
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Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks
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The Effect of Green Investment on Corporate Behavior
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Why is Corporate Virtue in the Eye of The Beholder? The Case of ESG Ratings
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Is Physical Climate Risk Priced? Evidence from Regional Variation in Exposure to Heat Stress
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