ESG combined score effects on stock performance of S&P 500-listed firms

Shi Cheng and Shan Huang

Finance Research Letters, 2024, vol. 66, issue C

Abstract: The influence of ESG combined scores on the stock performance (excess return, volatility, and liquidity) of S&P 500-listed firms was examined from June 2013 to May 2023. Ordinary least squares and heterogeneity analyses were used, with robustness checks performed through the use of endogenous treatment and fixed-effects models. Results indicated that ESG combined scores are negatively correlated with returns and liquidity but positively correlated with volatility. The stocks of low-ESG firms were more ESG-sensitive than those of high-ESG firms. The impact of COVID-19 on stock price volatility was also considerable. The results contradicted the view that ESG enhances market performance, highlighting the need for active, sustained stakeholder engagement concerning ESG practices.

Keywords: ESG combined score; Stock performance; S&P 500 listed firms (search for similar items in EconPapers)
JEL-codes: B16 C22 G11 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324007165

DOI: 10.1016/j.frl.2024.105686

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