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@article{ART003039776},
author={김유경 and Sun-Joong Yoon},
title={Effects of Investor Sentiment under Different ESG Ratings: Evidence from Korean Stock Markets},
journal={Asset Management Review},
issn={2288-6672},
year={2023},
volume={11},
number={2},
pages={1-16},
doi={10.23007/amr.2023.11.2.1}

TY - JOUR
AU - 김유경
AU - Sun-Joong Yoon
TI - Effects of Investor Sentiment under Different ESG Ratings: Evidence from Korean Stock Markets
JO - Asset Management Review
PY - 2023
VL - 11
IS - 2
PB - Institute of Management Research, SungKyunKwan University
SP - 1
EP - 16
SN - 2288-6672
AB - This study analyzes the role of ESG ratings in the relationship between investor sentiment and stock returns. First, we analyze the impact of investor sentiment on stock returns by approximating investor sentiment using the Economic Sentiment Index (ESI), Business Survey Index (BSI), and Consumer Sentiment Index (CSI) released monthly by the Bank of Korea. We then examine how the impact of investor sentiment varies depending on the evaluation of non-financial factors, ESG. The results show that investor sentiment has a negative predictability on stock returns one- to six-month future returns, which is consistent with previous studies. Next, we analyze the impact of ESG and find that the explanatory power of ESG increases the most when consumer sentiment and ESG are combined, and the overvaluation of stocks by sentiment is greater with higher ESG scores. The contribution of this study is that it is the first study to analyze the interconnectedness of ESG and sentiment.
KW - ESG ratings;Investor Sentiment;Return Predictability
DO - 10.23007/amr.2023.11.2.1
ER -

김유경 and Sun-Joong Yoon. (2023). Effects of Investor Sentiment under Different ESG Ratings: Evidence from Korean Stock Markets. Asset Management Review, 11(2), 1-16.

김유경 and Sun-Joong Yoon. 2023, "Effects of Investor Sentiment under Different ESG Ratings: Evidence from Korean Stock Markets", Asset Management Review, vol.11, no.2 pp.1-16. Available from: doi:10.23007/amr.2023.11.2.1

김유경, Sun-Joong Yoon "Effects of Investor Sentiment under Different ESG Ratings: Evidence from Korean Stock Markets" Asset Management Review 11.2 pp.1-16 (2023) : 1.

김유경, Sun-Joong Yoon. Effects of Investor Sentiment under Different ESG Ratings: Evidence from Korean Stock Markets. 2023; 11(2), 1-16. Available from: doi:10.23007/amr.2023.11.2.1

김유경 and Sun-Joong Yoon. "Effects of Investor Sentiment under Different ESG Ratings: Evidence from Korean Stock Markets" Asset Management Review 11, no.2 (2023) : 1-16.doi: 10.23007/amr.2023.11.2.1

김유경; Sun-Joong Yoon. Effects of Investor Sentiment under Different ESG Ratings: Evidence from Korean Stock Markets. Asset Management Review, 11(2), 1-16. doi: 10.23007/amr.2023.11.2.1

김유경; Sun-Joong Yoon. Effects of Investor Sentiment under Different ESG Ratings: Evidence from Korean Stock Markets. Asset Management Review. 2023; 11(2) 1-16. doi: 10.23007/amr.2023.11.2.1

김유경, Sun-Joong Yoon. Effects of Investor Sentiment under Different ESG Ratings: Evidence from Korean Stock Markets. 2023; 11(2), 1-16. Available from: doi:10.23007/amr.2023.11.2.1

김유경 and Sun-Joong Yoon. "Effects of Investor Sentiment under Different ESG Ratings: Evidence from Korean Stock Markets" Asset Management Review 11, no.2 (2023) : 1-16.doi: 10.23007/amr.2023.11.2.1