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The evaluation of the effects of ESG scores on financial markets

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  • Michele Costa

Abstract

We aim to explore the interplay between ESG scores and assets characteristics, specifically focusing on volatility. We classify stocks on the basis of both high/low ESG and high/low ESG momentum and we evaluate ESG effects by measuring the distance between the 2 group distributions. The analysis of stocks within the STOXX Europe 600 Index from 2017 to 2022 suggests that companies with higher ESG tend to exhibit lower volatility. However, we haven t observed a similar trend when examining ESG momentum. Furthermore, our findings enable us to highlight and compare the effects associated with the COVID pandemic and the conflict in Ukraine.

Suggested Citation

  • Michele Costa, 2023. "The evaluation of the effects of ESG scores on financial markets," Working Papers wp1189, Dipartimento Scienze Economiche, Universita' di Bologna.
    • Handle: RePEc:bol:bodewp:wp1189
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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