A0988
Title: Does sustainability impact tail risk measurement: Evidence from a novel text-based ESG indicator
Authors: Alessandra Amendola - University of Salerno (Italy) [presenting]
Vincenzo Candila - University of Salerno (Italy)
Peter Winker - University of Giessen (Germany)
Shahram Dehghan Jabarabadi - University of Padova (Italy)
Abstract: With the increasing trend of public interest, literature, and legislation in environmental, social, and governance (ESG) and the lack of statistical indicators, the paper proposes a novel daily ESG indicator that uses scrapped news articles and textual analysis. The news article source is selected in a way that ensures the consistency of data over time and across various contexts and provides sufficient observations during the investigated period (from 2004 to 2024). To validate the proposed indicator, graphical approaches and tail risk measurements are employed. The evaluations reveal the outperformance of tail risk measurement models with the ESG indicator as an exogenous variable. The presentation of a daily ESG indicator offers a reliable, long-term time series independent of specific corporate influences to enrich risk management and portfolio optimization strategies by quantifying ESG impact and crafting data-driven ESG policies.
