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Article Dans Une Revue Journal of Asset Management Année : 2017

Leading or lagging indicators of risk? The informational content of extra-financial performance scores

Résumé

This study investigates the informational content of extra-financial agency scoring by examining the relationship between firm beta and extra-financial performance score upgrades and downgrades. Specifically, we study the variations in the extra-financial score of 266 Canadian corporations between 2007 and 2012 with a conditional model. We find no evidence that changes in firm beta precede changes in extra-financial scores. Rather, our results suggest that a firm’s systematic risk increases following a downgrade of its extra-financial performance. In terms of score upgrades, the overall effect is not significant. However, score upgrades for firms with already-high scores predict higher systematic risk, while score upgrades for firms with low scores predict lower systematic risk. These results suggest that extra-financial scores are informational and can be useful to portfolio managers, notably for their risk management strategies.
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Dates et versions

hal-03690817 , version 1 (08-06-2022)

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Roland Gillet, Amos Sodjahin, Claudia Champagne, Frank Coggins. Leading or lagging indicators of risk? The informational content of extra-financial performance scores. Journal of Asset Management, 2017, 18 (5), pp.347-370. ⟨10.1057/s41260-016-0039-y⟩. ⟨hal-03690817⟩
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