Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx 50

Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx 50

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...

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Bibliographic Details
Main Authors: Mario La Torre, Fabiomassimo Mango, Arturo Cafaro, Sabrina Leo
Format: Article
Language:English
Published: MDPI AG 2020-08-01
Series:Sustainability
Subjects:
ESG
ESG index
sustainability
stock returns
Online Access:https://www.mdpi.com/2071-1050/12/16/6387
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spelling doaj-cc923311e14b467d9b8f1d4969b938982020-11-25T03:52:52ZengMDPI AGSustainability2071-10502020-08-01126387638710.3390/su12166387Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx 50Mario La Torre0Fabiomassimo Mango1Arturo Cafaro2Sabrina Leo3Department of Management, Sapienza University of Rome, 00161 Rome, ItalyDepartment of Management, Sapienza University of Rome, 00161 Rome, ItalyDepartment of Management, Sapienza University of Rome, 00161 Rome, ItalyDepartment of Management, Sapienza University of Rome, 00161 Rome, ItalyRecent 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.https://www.mdpi.com/2071-1050/12/16/6387ESGESG indexsustainabilitystock returns
collection DOAJ
language English
format Article
sources DOAJ
author Mario La Torre
Fabiomassimo Mango
Arturo Cafaro
Sabrina Leo
spellingShingle Mario La Torre
Fabiomassimo Mango
Arturo Cafaro
Sabrina Leo
Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx 50
Sustainability
ESG
ESG index
sustainability
stock returns
author_facet Mario La Torre
Fabiomassimo Mango
Arturo Cafaro
Sabrina Leo
author_sort Mario La Torre
title Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx 50
title_short Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx 50
title_full Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx 50
title_fullStr Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx 50
title_full_unstemmed Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx 50
title_sort does the esg index affect stock return? evidence from the eurostoxx 50
publisher MDPI AG
series Sustainability
issn 2071-1050
publishDate 2020-08-01
description 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.
topic ESG
ESG index
sustainability
stock returns
url https://www.mdpi.com/2071-1050/12/16/6387
work_keys_str_mv AT mariolatorre doestheesgindexaffectstockreturnevidencefromtheeurostoxx50
AT fabiomassimomango doestheesgindexaffectstockreturnevidencefromtheeurostoxx50
AT arturocafaro doestheesgindexaffectstockreturnevidencefromtheeurostoxx50
AT sabrinaleo doestheesgindexaffectstockreturnevidencefromtheeurostoxx50
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