Green or Brown? Choosing an Overpriced Stock to Short Sell

战昕彤教授现任复旦大学管理学院李达三金融学讲席教授。她亦是特许金融分析师(CFA) 持证人与特许另类投资分析师(CAIA) 持证人。她于2012年获得北京大学光华管理学院金融学学士学位，2016年获得香港中文大学商学院金融学博士学位。她的研究领域为实证资产定价，可持续金融，金融衍生品等。其多项研究成果见诸于国际顶级金融学及管理学期刊，多次入选金融学科的三大顶级国际会议。战昕彤教授致力于对社会有积极影响力的学术研究，多次受邀至国内外知名金融机构对其研究成果进行宣讲。

We identify a negative causal effect of corporate environmental, social, and governance (ESG) performance on short selling demand among overpriced stocks. Shorting overpriced stocks with high ESG scores exposes short sellers to three types of risk: 1) synchronization risk—long-side investors are reluctant to sell overpriced stocks with better ESG performance; 2) short squeeze risk associated with ESG sentiment—high ESG stocks experience positive sentiment-driven price jumps when public attention to ESG spikes; and 3) ESG reputation risk—short sellers who publicly disclose large positions on high ESG stocks may get a bad reputation. The resulting insufficiency in short demand has important implications for asset prices.