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.
ESG, sustainability and stock market risk / Michele Costa. - ELETTRONICO. - (2023), pp. 797-800. (Intervento presentato al convegno Statistical Learning, Sustainability and Impact Evaluation tenutosi a Ancona nel 21-23 June 2023).
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
