Borgers, Derwall, Koedijk and ter Horst (2013)
Borgers, Arian, Jeroen Derwall, Kees Koedijk, and Jenke ter Horst. “Stakeholder relations and stock returns: on errors in investors’ expectations and learning.” Working paper (Tilburg University), March 2013.
From the authors' abstract: "We build a stakeholder-relations index (SI) for a wide range of U.S. firms over the period 1992-2009 and provide evidence that the SI explained errors in investors’ expectations about firms’ future earnings. The SI was positively associated with long-term risk-adjusted returns, earnings announcement returns, and errors in analysts’ earnings forecasts over the period 1992-2004. However, as attention for stakeholder issues became more widespread, subsequently, these relationships diminished considerably."
LK comment: Like Bebchuk, Cohen, and Wang (2013), this paper finds evidence that the market has grown more sophisticated and efficient with respect to ESG factors.