ESG and the Stock Market: Is ESG Exposure Systematic?

The authors benefited from discussions with participants at the 2024 China International Conference in Finance; the 2022 China FinTech Research Conference; the Second FinTech International Academic Forum; the Fourth China Accounting Scholars Forum; the Fourth Greater China Area Finance Conference; the 2022 Rochester University Conference in Econometrics; the Second Shanghai Financial Forefront Symposium; the First Shanghai Green & Low Carbon Finance Forum;, the 2021 Shanghai Investment Pioneer Conference; the 29th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management (Keynote Speech); the 34th Asian Finance Association Annual Conference; the 34th Australasian Finance and Banking Conference; the 2021 New Zealand Finance Meeting (Runner-up Award); and seminar participants at the Advanced Institute of Business at Tongji University, Boston University, Capital University of Economics and Business, Cheung Kong Graduate School of Business, Louisiana State University, Peking University Guanghua School of Management, Renmin University of China, Shanghai Jiao Tong University, the University of Bath, and the University of Manitoba for their insightful and constructive comments. The authors are especially grateful to the Editor, the Associate Editor, and all the referees for their extremely insightful and constructive comments that significantly improved the paper. Australian Securities and Investments Commission (ASIC) disclaims responsibility for any private publication or statement of any ASIC employee or Commissioner. This private publication and its statements express the author’s views and does not necessarily reflect those of the Commission, the Commissioners, or other members of the staff.