22/05/2026 - 11:00 - LIDAM D.251 -
(Université Paris Dauphine)
will give a presentation on
Abstract :
How does ESG information reach asset prices, and why does the answer depend on who produces the rating? Using a causal mediation framework applied to U.S.\ equities over 2016--2025 with Refinitiv and MSCI ratings, we show that approximately 19\% of the negative ESG premium is transmitted through institutional portfolio reallocation --- a lower bound, given the exclusion of neutral investors and the growth of passive management. The decomposition reveals that the market absorbs demand symmetrically regardless of investor type, yet ESG-averse investors respond far more aggressively than ESG-oriented ones, generating an implicit short that dominates the indirect channel. This separation between symmetric market structure and asymmetric behaviour answers the paper's titular questions: \emph{who reacts} is revealed by investor heterogeneity, \emph{who measures} by the provider-specific activation of demand. Quasi-experimental evidence from index reconstitutions confirms causality.
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