ESG and stock price synchronicity: an analysis of the U.S. Market
Abstract/Description
This study examines the influence of ESG scores on stock price synchronicity of U.S. firms from 2002 to 2023. The findings suggest that ESG has a positive and significant link with stock price synchronicity and negative association with idiosyncratic volatility. The results support the noise-trading view of stock price synchronicity, suggesting that high-quality ESG information reduces uncertain investor expectations resulting in a more correlated response to new ESG information, thus also supporting the emerging view that idiosyncratic return variation captures noise rather than news.
Keywords
ESG, stock price synchronicity, idiosyncratic volatility, information asymmetry, firm-specific noise
Track
Finance
Session Number/Theme
Finance - Session II
Start Date/Time
13-6-2025 2:15 PM
End Date/Time
13-6-2025 3:55 PM
Recommended Citation
Asif, A. (2025). ESG and stock price synchronicity: an analysis of the U.S. Market. IBA SBS 4th International Conference 2025. Retrieved from https://ir.iba.edu.pk/sbsic/2025/program/7
COinS
ESG and stock price synchronicity: an analysis of the U.S. Market
This study examines the influence of ESG scores on stock price synchronicity of U.S. firms from 2002 to 2023. The findings suggest that ESG has a positive and significant link with stock price synchronicity and negative association with idiosyncratic volatility. The results support the noise-trading view of stock price synchronicity, suggesting that high-quality ESG information reduces uncertain investor expectations resulting in a more correlated response to new ESG information, thus also supporting the emerging view that idiosyncratic return variation captures noise rather than news.
