A1355
Title: Assessing the ESG premium: Evidence from Spain
Authors: Simon Sosvilla-Rivero - Universidad Complutense de Madrid (Spain) [presenting]
Julian Andrada-Felix - Universidad de Las Palmas de Gran Canaria (Spain)
Marta Gomez-Puig - Universitat de Barcelona (Spain)
Abstract: As a case study, the premium investors assign after a company is included in the FTSE4Good IBEX Index is assessed, an index designed to identify Spanish companies with leading corporate responsibility practices. By comparing the performance of companies included in the index with that of a counterfactual company with similar characteristics but has not been selected, it is quantified how market participants have valued the strong management of environmental, social, and governance risks by the company under study. The simultaneous nearest neighbors approach is used to create the counterfactual company by simultaneously considering occurring analogues in the time series of other companies not selected and listed in the Madrid Stock Market.
