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ESG Risk Premia Measured with Contingent Claims

The study suggests a method to calculate ESG risk premiums using market data, revealing a significant link between ESG scores and asset process volatility and drift terms, indicating ESG factors impact company value.

Featured in No. 22 on 18 Oct 2023 · 6 days after release

Released
12 Oct 2023
First featured
No. 22 · 18 Oct 2023
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
16
Identifier
SSRN 4600795

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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