| Paper Number | KCB-WP-2024-009 |
|---|---|
| Title | Air Quality, ES Risks, and Stock Returns: Evidence from Korea |
| Title(Other) | |
| Author | Byunghun Han ; Junho Park ; Kwangwoo Park |
| Publisher | KAIST College of Business |
| Abstract | This paper empirically examines the impact of air pollution, measured through the Air Quality Index (AQI), on stock returns within the Korean market. Using data from listed firms for the 2015-2021 period, we show that AQI adversely affects stock returns, while this relationship becomes less pronounced when firms have lower environmental and social (ES) risks. We further find that the adverse effect of AQI on stock returns is mitigated with a greater level of institutional investments. Our results suggest that the behavioral bias of air pollution on stock returns can be weakened with the firms with lower ES risks. |
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