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Unlocking ESG Premium from Options

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dc.contributor.authorZhang, Weiming (Elaine)
dc.contributor.authorCao, Jie
dc.contributor.authorGoyal, Amit
dc.contributor.authorZhan, Xintong (Eunice)
dc.contributor.rorhttps://ror.org/02jjdwm75
dc.date.accessioned2025-04-07T13:56:03Z
dc.date.available2025-04-07T13:56:03Z
dc.date.issued2023-03-24
dc.description.abstractWe find that option expensiveness, measured by delta-hedged option returns, is higher for low-ESG stocks, indicating that investors pay a premium in the options market to hedge against ESG-related uncertainty. We estimate that this ESG premium is about 0.2% for 50 days. All three components of ESG contribute to option pricing. We find that investors pay the ESG premium to hedge against jump risks, but not volatility risks. The effect of ESG performance is more prominent during periods when attention to ESG is higher and for firms that are more subject to ESG-related risks.
dc.description.peerreviewedyes
dc.description.statusPublished
dc.formatapplication/pdf
dc.identifier.citationCao, J., Goyal, A., Zhan, X., & Zhang, W. E. (2021). Unlocking ESG premium from options (No. 21-39). Swiss Finance Institute. http://dx.doi.org/10.2139/ssrn.3878123.
dc.identifier.doihttp://dx.doi.org/10.2139/ssrn.3878123
dc.identifier.urihttps://hdl.handle.net/20.500.14417/3715
dc.language.isoen
dc.publisherSSRN
dc.relation.departmentFinance
dc.relation.entityIE University
dc.relation.schoolIE Business School
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/deed.en
dc.subject.keywordESG
dc.subject.keywordRisk premium
dc.subject.keywordDelta-hedged option return
dc.titleUnlocking ESG Premium from Options
dc.typeinfo:eu-repo/semantics/workingPaper
dc.version.typeinfo:eu-repo/semantics/publishedVersion
dspace.entity.typePublication
relation.isAuthorOfPublication118ba7a2-fcd3-4d36-89cf-d908d3f35ff6
relation.isAuthorOfPublication.latestForDiscovery118ba7a2-fcd3-4d36-89cf-d908d3f35ff6
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