Differential Impact of Investor Behavioural Biases on US Sustainable and Non-Sustainable Firms

This study explores how investor behavioural biases influence sustainable (high-ESG) and non-sustainable (low-ESG) firms in the United States, using the behavioural three-factor model introduced by Daniel, Hirshleifer  and Sun (2020). The model includes two behavioural factors: limited attention bias, which captures short-term anomalies (indicated by the Post-Earnings Announcement Drift or PEAD), ...