.png){kind=icon}
.png){kind=icon}
Return
Non-linear ESG effects on Jensen’s Alpha: Evidence from a CAPM-based framework
.png){kind=icon}
OA
AI
M
A
P
DOI：10.1016/j.ribaf.2026.103437.png)
.png){kind=icon}
.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
• The ESG-alpha relationship is analyzed for S&P 500 firms from 2015 to 2024. • Alpha is estimated under multiple CAPM specifications and benchmarks. • Higher ESG performance is associated with lower abnormal returns. • A quadratic model reveals a U-shaped ESG-Alpha relationship. • ESG-related return differentials are not captured by a one-factor CAPM.
Keywords:
ESG
Alpha
Cost of capital
CAPM
Abnormal returns
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
6.9
Papers:
2.7K
Citations:
1.0W
Organization
Cited Papers