Dynamic ESG Equilibrium

The authors thank Will Cong (editor), the associate editor, and three anonymous referees for insightful feedback and Robert Engle, Stefano Giglio, Fabio Girardi, Frank de Jong, Paul Karehnke, Elisa Luciano, Alessandro Melone, Valeria Nale, Jean-Paul Renne, Pablo Ruiz-Verdu, Peter Norman Sørensen, Marco Taboga, Claudio Tebaldi, the seminar participants at the Catholic University of Milan and EDHEC Business School, and the conference attendants at the 2022 Financial Risks International Forum, 2022 Econometric Society Australasia Meeting, 2022 European Summer Meetings of the Econometric Society, 2022 Research in Behavioral Finance Conference, 2022 CREDIT Long Run Risks Conference, 2022 SAFE Asset Pricing Workshop, and 2023 LTI/Bank of Italy Workshop for useful comments and discussions. Part of this research was developed when Andrea Tarelli was visiting Collegio Carlo Alberto, whose hospitality is gratefully acknowledged. Part of the data used to conduct the empirical analysis is sourced from MSCI ESG Research LLC. For details regarding the use and dissemination of this information, please refer to the notice and disclaimer available at https://www.msci.com/notice-and-disclaimer-for-reporting-licenses or in the readme file of the replication package. The authors are solely responsible for any remaining errors.