Is it risky to make the world a better place: A study on the association between environmental, social, and governance (ESG) operational risk management and market derived volatilities

Author

Kelly L. Johnson, James Madison UniversityFollow

Creative Commons License

This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Date of Graduation

5-7-2021

Publish

yes

Document Type

Thesis

Degree Name

Bachelor of Science (BS)

Department

Department of Finance and Business Law

Advisor(s)

Jason D. Fink

Hui H. Sono

Felix Wang

Abstract

Investors and firms are increasingly concerned with their Environmental, Social and Governance (ESG) risk exposures. Awareness of firms’ ESG policies by investors has grown substantially over the past five years. This growth led to the creation of company ratings for ESG operational risk exposure from third parties. We will analyze six years of ESG rankings, accounting and return data for S&P 500 firms and test whether ESG risk management ratings are associated with market derived measures of risk.

Recommended Citation

Johnson, Kelly L., "Is it risky to make the world a better place: A study on the association between environmental, social, and governance (ESG) operational risk management and market derived volatilities" (2021). Senior Honors Projects, 2020-current. 132.
https://commons.lib.jmu.edu/honors202029/132