| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16392 |
| DP16392 Pricing Ethics in the Foreign Exchange Market: Environmental, Social and Governance Ratings and Currency Premia | |
| Ilias Filippou; Mark Taylor | |
| 发表日期 | 2021-07-24 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We examine the cross-sectional predictive ability of the Refinitiv Environmental, Social and Governance (ESG) score for returns in the foreign exchange market, using ESG scores aggregated at the national level, and find that ESG is a strong negative predictor of currency returns. Intuitively, investors require a premium for financing low-ESG countries while high-ESG countries offer lower returns and provide a hedge in the bad state of the world. We show that ESG is priced in the cross-section of currency returns. We also consider the different components of ESG and show that its predictability is driven by the environmental pillar of the ESG ratings. The profitability of the ESG currency strategy is not driven by the carry trade and is robust to transaction costs. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Environmental Social Governance Refinitiv Esg Foreign exchange market risk premium |
| URL | https://cepr.org/publications/dp16392 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545353 |
| 推荐引用方式 GB/T 7714 | Ilias Filippou,Mark Taylor. DP16392 Pricing Ethics in the Foreign Exchange Market: Environmental, Social and Governance Ratings and Currency Premia. 2021. |
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