树篱
下行风险
文件夹
业务
索引(排版)
2019年冠状病毒病(COVID-19)
休克(循环)
风险管理
公司治理
精算学
经济
计量经济学
金融经济学
财务
医学
生态学
内科学
疾病
病理
万维网
计算机科学
传染病(医学专业)
生物
作者
Yuqian Jin,Qingfu Liu,Yiuman Tse,Kaixin Zheng
标识
DOI:10.1016/j.iref.2023.06.002
摘要
Covid-19 has led to major changes worldwide and has had a significant impact on market risk. We characterize this uncertainty as innovations extracted from the Covid Risk Index on the Wall Street Journal through a textual analysis of high-dimensional data. We hedge the risk with mimicking portfolios constructed using the ESG (environmental, social, and governance) disclosure score as a measure of firm-level exposure to Covid-19 risk. The hedge portfolios perform well both in and out of sample. We also test the role of ESG in hedging and discover that during the Covid-19 pandemic firms with greater ESG disclosure generate higher returns as well as experience lower downside risk. The further analysis suggests that the portfolio returns can be explained by Covid risk shock and investment inflow, and the hedge effect mainly comes from the social part of ESG.
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