The thesis was supervised by professor Lars Nordén and also greatly benefited from discussion with and encouragement from Professor Björn Hagströmer and Professor Ran Xing at SBS.

This project conceptualizes an innovative systematic liquidity risk channel of ESG effects on stock performance and uncovers novel empirical evidence of simultaneous liquidity oscillation among Swedish equities classified as carbon emission laggards, i.e., brown equities, listed on Nasdaq Stockholm in the large segment. This uncovered ESG-specific commonality in liquidity is an undiversified systematic risk, which would entail return compensation. This finding corroborates the negative ESG-return correlation in an economy predominately influenced by ESG-motivated investors who prioritize climate commitments, as in the empirical context of the Swedish equity market.

Haiping Yu

 - Before studying at SBS, I had an undergraduate degree in environmental studies from Canada and have worked in the environmental industry for a couple years in East Asia. As a young professional seeking to obtain quantitative training, I applied to SBS and was so grateful to be given the opportunity to be equipped with the financial analytical capabilities that enable me to approach the complex climate challenges we face today through the lens of data and finance says Haiping Yu.

After graduation, Haiping Yu joined the Swedish House of Finance as a Research Analyst on topics of private equity and sustainable finance.

Read the thesis Flight to Climate: Liquidity Commonality in Brown Equities