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ESG combined score effects on stock performance of S&P 500-listed firms

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  • Cheng, Shi
  • Huang, Shan

Abstract

The influence of ESG combined scores on the stock performance (excess return, volatility, and liquidity) of S&P 500-listed firms was examined from June 2013 to May 2023. Ordinary least squares and heterogeneity analyses were used, with robustness checks performed through the use of endogenous treatment and fixed-effects models. Results indicated that ESG combined scores are negatively correlated with returns and liquidity but positively correlated with volatility. The stocks of low-ESG firms were more ESG-sensitive than those of high-ESG firms. The impact of COVID-19 on stock price volatility was also considerable. The results contradicted the view that ESG enhances market performance, highlighting the need for active, sustained stakeholder engagement concerning ESG practices.

Suggested Citation

  • Cheng, Shi & Huang, Shan, 2024. "ESG combined score effects on stock performance of S&P 500-listed firms," Finance Research Letters, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324007165
    DOI: 10.1016/j.frl.2024.105686
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    2. Cristian Dobre & Camelia Mirela Baba & Carmen Elena Anton & Alexandra Zamfirache & Denisa Aldea, 2025. "Sustainability Reporting and Environmental Responsibility: The Case of Romania," Administrative Sciences, MDPI, vol. 15(3), pages 1-31, March.
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    6. Ubeda, Fernando & Mendez, Alvaro & Forcadell, Francisco Javier & López, Belén, 2024. "How socially sustainable multinational banks promote financial inclusion in developing countries," LSE Research Online Documents on Economics 124260, London School of Economics and Political Science, LSE Library.
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    8. Raminta Vaitiekuniene & Kristina Sutiene & Rytis Krusinskas, 2024. "Factors Affecting the Sustainability of Corporates in Polluting Sectors," Sustainability, MDPI, vol. 16(20), pages 1-12, October.

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • B16 - Schools of Economic Thought and Methodology - - History of Economic Thought through 1925 - - - Quantitative and Mathematical

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