This paper analyzes stock returns' sensitivity to the newly introduced sustainability concerns index based on media indicators from LSEG MarketPsych for the US market from 2010 to 2023. While the results demonstrate that better ESG performance mitigates equities' sensitivity to sustainability concerns in society, the effects are mainly driven by firms' governance rather than environmental or social performance. This study underscores the vital role of good governance and management among ESG criteria for firms in promoting the stability of stock returns to changes in public concerns regarding sustainability issues.

中文翻译：

---

ESG 绩效和可持续性问题风险敞口


本文根据 LSEG MarketPsych 2010 年至 2023 年美国市场的媒体指标分析了股票回报对新引入的可持续性问题指数的敏感性。虽然结果表明，更好的 ESG 表现减轻了股票对社会可持续性问题的敏感性，但其影响主要是由公司的治理驱动的，而不是环境或社会绩效。本研究强调了公司 ESG 标准中良好治理和管理在促进股票回报稳定性方面的重要作用，以应对公众对可持续发展问题的关注变化。