We aim to investigate the relationship between ESG score and assets characteristics, focusing on volatility.We classify stocks based on both high/lowESG scores and high/low ESG momentum and we evaluate ESG effects by measuring the distance between the two group distributions. The analysis of stocks in the STOXX600 Index from 2017 to 2022 suggests that companies with higher ESG outperform companies with lower ESG, which are consistently characterized by higher volatility. Our findings also highlight and compare the effects related to the COVID pandemic and the war in Ukraine.
Michele Costa (2024). ESG score and volatility in the European stock market. Cham : Springer.
ESG score and volatility in the European stock market
Michele Costa
2024
Abstract
We aim to investigate the relationship between ESG score and assets characteristics, focusing on volatility.We classify stocks based on both high/lowESG scores and high/low ESG momentum and we evaluate ESG effects by measuring the distance between the two group distributions. The analysis of stocks in the STOXX600 Index from 2017 to 2022 suggests that companies with higher ESG outperform companies with lower ESG, which are consistently characterized by higher volatility. Our findings also highlight and compare the effects related to the COVID pandemic and the war in Ukraine.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
