Dimension-specific theoretical hypotheses
| ESG dimension | Primary mechanism | Predicted effect on current volatility | Predicted effect on future volatility | Predicted attenuation over time |
|---|---|---|---|---|
| Environmental (E) | Investment channel: upfront costs precede efficiency gains | None (insignificant) | Positive (+) | No – persists as investment horizon unfolds |
| Social (S) | Stakeholder conflict channel: active engagement raises near-term uncertainty | Positive (+) | None (insignificant) | Yes – resolves within 1–2 years as conflicts conclude |
| Governance (G) | Internal monitoring channel: board quality stabilizes earnings continuously | Negative (−) | None (insignificant) | Minimal – monitoring is a continuous mechanism |
| ESG dimension | Primary mechanism | Predicted effect on current volatility | Predicted effect on future volatility | Predicted attenuation over time |
|---|---|---|---|---|
| Environmental (E) | Investment channel: upfront costs precede efficiency gains | None (insignificant) | Positive (+) | No – persists as investment horizon unfolds |
| Social (S) | Stakeholder conflict channel: active engagement raises near-term uncertainty | Positive (+) | None (insignificant) | Yes – resolves within 1–2 years as conflicts conclude |
| Governance (G) | Internal monitoring channel: board quality stabilizes earnings continuously | Negative (−) | None (insignificant) | Minimal – monitoring is a continuous mechanism |
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