Téléchargez le livre : The Differential Impact of Investor Behavioural Biases on US Sustainable and Non-Sustainable Firms

The Differential Impact of Investor Behavioural Biases on US Sustainable and Non-Sustainable Firms

A Three-Factor Model Approach

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Springer Gabler


Paru le : 2026-01-19



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Description

This study explores how investor behavioural biases influence sustainable (high-ESG) and non-sustainable (low-ESG) firms in the United States, using the behavioural three-factor model introduced by Daniel, Hirshleifer  and Sun (2020). The model includes two behavioural factors: limited attention bias, which captures short-term anomalies (indicated by the Post-Earnings Announcement Drift or PEAD), and overconfidence bias, a long-term bias (as indicated by the Financing or FIN factor). By analyzing both high- and low-ESG portfolios, the study finds that both portfolios are exposed to the two biases, but the degree of exposure varies significantly. The high-ESG portfolio shows positive loadings on both behavioural factors, indicating efficient price corrections, while the low-ESG portfolio sees negative loadings. This difference in factor loadings for ESG portfolios is novel. It is likely due to arbitrage frictions. The study also finds that these biases are more pronounced during bull market phases, while they diminish in bear market phases (the overconfidence bias weakens, and the limited attention bias loses statistical significance). Furthermore, the high-ESG portfolio returns are less susceptible to overall market movements and thus offer greater downside protection during bear markets.
Pages
59 pages
Collection
n.c
Parution
2026-01-19
Marque
Springer Gabler
EAN papier
9783658506674
EAN PDF
9783658506681
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
5
Taille du fichier
1260 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
89,66 €
EAN EPUB
9783658506681
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
5
Taille du fichier
788 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
89,66 €

R.M. Vajirapanie Bandaranayake was a FACT master's student at HWR Berlin. She currently works as a company valuation consultant at an audit firm.

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