In this paper we aim to investigate the relationship between ESG score and assets characteristics, focusing on volatility. We classify stocks on the basis of high/low ESG score and we evaluate ESG effects by measuring the distance between the 2 group distributions. The analysis of stocks in the STOXX 600 Index from 2017 to 2021 suggests that companies with higher ESG outperform companies with lower ESG, also allowing to highlight COVID related effects.
Michele Costa (2023). ESG, sustainability and stock market risk. London : Pearson.
ESG, sustainability and stock market risk
Michele Costa
2023
Abstract
In this paper we aim to investigate the relationship between ESG score and assets characteristics, focusing on volatility. We classify stocks on the basis of high/low ESG score and we evaluate ESG effects by measuring the distance between the 2 group distributions. The analysis of stocks in the STOXX 600 Index from 2017 to 2021 suggests that companies with higher ESG outperform companies with lower ESG, also allowing to highlight COVID related effects.File in questo prodotto:
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