A1022
Title: Chasing the non-linear ESG factor
Authors: Juan-Angel Jimenez-Martin - Complutense of Madrid (Spain) [presenting]
Runfeng Yang - Ca\' Foscari University of Venice (Italy)
Massimiliano Caporin - University of Padova (Italy)
Abstract: A non-linear setting is applied in capturing ESG factors. The non-linear factor captures the pricing of the cross-section distribution of ESG scores. The factors for ESG, E, and S scores are found to deviate from linearity. The extent of deviation depends on the type of ESG scores as well as the sample period. Evidence of cross-section distribution of ESG scores is found to interact with climate sentiment when affecting the ESG factors. A change in the ESG data provider will change the non-linear ESG factor. However, the non-linearity still exists using the common sample from different data providers
