This project embarks on an exploration of the relationship between asset returns and ESG factors, shedding light on their effectiveness in investment decision-making. We delve into three perspectives to uncover valuable insights. Firstly, we conduct an extensive examination of companies’ voluntary ESG reports using textual analysis, aiming to ascertain the extent to which these reports encompass accurate and up-to-date information regarding their ESG performance. Secondly, we assess the comprehensiveness of ESG ratings provided by data providers such as MSCI, addressing missing items by data-driven methods. Lastly, we delve into the relationship between the identified ESG information and the corresponding stock returns. To accomplish these, we leverage techniques including textual analysis, deep learning models, and statistical approaches with the objective of providing a comprehensive analysis, illuminating the association between ESG information and future asset returns. By doing so, we aim to make a significant contribution to the investment decision-making.
Participating members
- Dr. Yi Cao (PI)
- Dr. Yizhe Dong
- Dr. Adam Ntakaris
- Prof. Gbenga Ibikunle
Partners
