Hoepner, Oikonomou, Sautner, and Starks (2016)
Hoepner, Andreas, Ioannis Oikonomou, Zacharias Sautner, Laura T. Starks, Xiaoyan Zhou. “ESG Shareholder Engagement and Downside Risk.” Working paper (Smurfit Graduate Business School), December 17, 2016.
From the authors' abstract: "We show that ESG shareholder engagement reduces downside risk, measured using lower partial moments and value at risk. We document this effect by exploiting proprietary access to the complete engagement database of one of the world’s largest institutional shareholder activist. We document a risk-reduction effect only for engagements where portfolio firms respond with real actions to the investor’s demands. The risk effect of ESG engagement...is effective when governance or strategy & risk topics are addressed, and if changes in firms’ environmental policies are coupled with governance improvements."