We investigate the link between stock returns and ESG (Environmental, Social and Governance) concerns. The ESG concerns are measured by ESG-related sentiment extracted from Google Trends and Twitter, and also by the VIX index. We find that higher ESG scores are associated with lower stock returns on average. However, companies with high ESG scores deliver high returns in times of ESG concerns. Our results are consistent with the implications of equilibrium models of Pastor et al. (2021) and Pedersen et al. (2021) about the ESG score and changes in ESG concerns (preferences or news).
Keywords: ESG investing; Social Media; Exclusion
JEL Codes: G10; G20