Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx50
Mario La Torre,
Fabiomassimo Mango,
Arturo Cafaro and
Sabrina Leo
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Mario La Torre: Department of Management, Sapienza University of Rome, 00161 Rome, Italy
Fabiomassimo Mango: Department of Management, Sapienza University of Rome, 00161 Rome, Italy
Arturo Cafaro: Department of Management, Sapienza University of Rome, 00161 Rome, Italy
Sustainability, 2020, vol. 12, issue 16, 1-12
Abstract:
Recent findings provide evidence that companies highly rated in terms of Environmental, Social, and Governance (ESG) score report higher excess returns and lower volatility, this being supported by the assumption that ESG factors are considered, by market agents, as a good proxy for firms’ financial soundness. The aim of this paper is to investigate how ESG components affect stock returns. We use a two-step methodology to analyze the performance of companies included in the Eurostoxx50 index over the 2010–2018 period according to their ESG score. To classify companies in terms of ESG commitments, we combine several ESG indicators (quantitative ratings, scorings and qualitative-opinions) collected on a monthly basis. Our results do not support previous evidence; the Eurostoxx50 companies’ performance does not seem to be affected by their efforts in terms of ESG commitments.
Keywords: ESG; ESG index; sustainability; stock returns (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (34)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:12:y:2020:i:16:p:6387-:d:396179
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