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Title: The impact of ESG on stocks downside risk and risk adjusted return Authors:  Hans Loof - Royal Institute of Technology (Sweden)
Maziar Sahamkhadam - Linnaeus University (Sweden)
Andreas Stephan - Jonkoping University (Sweden)
Andreas Stephan - Linnaeus University (Sweden) [presenting]
Abstract: Investments considering corporate social responsibility continue to expand. Are companies pursuing a CSR agenda benefiting shareholders by reducing their financial downside risk? The aim is to investigates the relationship between a firm's environmental, social and corporate governance (ESG) scores and its downside risk on the stock market. We study this link using a panel of 887 stocks listed in five European countries over the period 2005-2017. Our empirical results show that higher ESG scores are associated with reduced downside risk of stock returns. Based on the Fama-French three factor model, we found no systematic relationship between ESG and the level of risk-adjusted return.