The evaluation of the effects of ESG scores on financial markets

Michele Costa

Working Papers from Dipartimento Scienze Economiche, Universita' di Bologna

Abstract: We aim to explore the interplay between ESG scores and assets characteristics, specifically focusing on volatility. We classify stocks on the basis of both high/low ESG and high/low ESG momentum and we evaluate ESG effects by measuring the distance between the 2 group distributions. The analysis of stocks within the STOXX Europe 600 Index from 2017 to 2022 suggests that companies with higher ESG tend to exhibit lower volatility. However, we haven t observed a similar trend when examining ESG momentum. Furthermore, our findings enable us to highlight and compare the effects associated with the COVID pandemic and the conflict in Ukraine.

JEL-codes: C40 G11 Q56 (search for similar items in EconPapers)
Date: 2023-12
New Economics Papers: this item is included in nep-cis, nep-env, nep-eur, nep-fmk and nep-ifn
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Persistent link: https://EconPapers.repec.org/RePEc:bol:bodewp:wp1189

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