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Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx50

Citations

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  1. Dirk Brounen & Gianluca Marcato & Hans Op ’t Veld, 2021. "Pricing ESG Equity Ratings and Underlying Data in Listed Real Estate Securities," Sustainability, MDPI, vol. 13(4), pages 1-20, February.
  2. Feyyaz Zeren & Mesut Dogan & Serkan Eryilmaz, 2026. "Determinants of ESG‐Related Sustainability Uncertainty: Asymmetric Fourier Evidence From G7 Countries," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 33(1), pages 1479-1492, January.
  3. Timár, Barnabás, 2023. "A klímavédelmi események hatása a köztudatra és a tőkepiacra. Empirikus vizsgálat Google-trends- és ETF-adatokon [The impact of climate events on public perception and capital markets. An empirical study on Google trends and ETF data]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 713-745.
  4. Miklesh Prasad Yadav & Silky Vigg Kushwah & Vandana Sehgal & Vadlamudy Raveendra Saradhi & Adam Philip Shore, 2026. "Is Quantile Connectedness Flexible or Uniform Under Catastrophic Tenure? Insights into ESG Investing and Financial Markets in the Quad Nations," Global Journal of Flexible Systems Management, Springer;Global Institute of Flexible Systems Management, vol. 27(1), pages 1-16, March.
  5. Zhi Chen, 2023. "Investigate The ESG Score Methodology," Papers 2312.00202, arXiv.org, revised Jan 2024.
  6. Roberto Moro-Visconti & Salvador Cruz Rambaud & Joaquín López Pascual & Javier Sánchez García, 2025. "Sustainable metaverse ecosystems: from ESG compliance to multilayer network scalability," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-39, December.
  7. Valeria Venturelli & Alessia Pedrazzoli & Daniela Pennetta & Gennaro De Novellis, 2025. "Assessing the influence of ESG washing on bank reputational exposure: A cross‐country analysis," Business Ethics, the Environment & Responsibility, John Wiley & Sons, Ltd., vol. 34(4), pages 1540-1560, October.
  8. Ana Lorena Jiménez-Preciado & Miguel Ángel Martínez-García & José Carlos Trejo-García & Francisco Venegas-Martínez, 2025. "Short- and Long-Term Assessments of ESG Risk in Mexican Mortgage Institutions: Combining Expert Surveys, Radar Plot Visualization, and Cluster Analysis," Sustainability, MDPI, vol. 17(12), pages 1-29, June.
  9. Guerrero-Escobar, Santiago & Hernández-del-Valle, Gerardo & Hernández-Vega, Marco, 2025. "The stock market effects of committing and setting GHG targets: evidence from the science-based targets initiative," Global Finance Journal, Elsevier, vol. 67(C).
  10. Oumayma Gharbi & Mouna Boujelbène, 2025. "Impact of ESG Rating on Portfolio Diversification Benefits Among US Fintech Stocks and Cryptocurrencies," SN Operations Research Forum, Springer, vol. 6(3), pages 1-29, September.
  11. Boglarka Bianka Kovacs & Gábor Neszveda & Eszter Baranyai & Adam Zaremba, 2024. "ESG unpacked: Environmental, social, and governance pillars and the stock price reaction to the invasion of Ukraine," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 755-777, September.
  12. Jingwen Xia, 2022. "A Systematic Review: How Does Organisational Learning Enable ESG Performance (from 2001 to 2021)?," Sustainability, MDPI, vol. 14(24), pages 1-22, December.
  13. Carlei, Vittorio & Furia, Donatella & Ceccarelli, Alessandro & Cascioli, Piera, 2025. "Outperforming ESG stocks portfolio: A machine learning ranking model with catboots regressor," The North American Journal of Economics and Finance, Elsevier, vol. 80(C).
  14. Hambel, Christoph & van der Sanden, Floor, 2025. "Reevaluating the carbon premium: Evidence of green outperformance," International Review of Financial Analysis, Elsevier, vol. 102(C).
  15. Zhu, Hongtao & Rahman, Md Jahidur, 2025. "Reprint of: Ex-ante expected changes in ESG and future stock returns based on machine learning," The British Accounting Review, Elsevier, vol. 57(1).
  16. Nektarios Gavrilakis & Christos Floros, 2023. "ESG performance, herding behavior and stock market returns: evidence from Europe," Operational Research, Springer, vol. 23(1), pages 1-21, March.
  17. Jihye Yun & Jonghwa Lee, 2022. "Analysis of the Relationship between Corporate CSR Investment and Business Performance Using ESG Index—The Use-Case of Korean Companies," Sustainability, MDPI, vol. 14(5), pages 1-14, March.
  18. Muneer Shaik & Mohd Ziaur Rehman, 2023. "The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 231-246, March.
  19. Lu, Chia-Wu & Wu, Hsueh-Ling & Su, Yu-Hsuan, 2024. "The icing on the cake: ESG effect on the quality factor portfolios," Finance Research Letters, Elsevier, vol. 70(C).
  20. Maria Krambia-Kapardis & Christos S. Savva & Ioanna Stylianou, 2023. "Socio-Economic Factors Affecting ESG Reporting Call for Globally Agreed Standards," Sustainability, MDPI, vol. 15(20), pages 1-35, October.
  21. Li, Yilong & Qiao, Yuqi & Lei, Shaoxin, 2025. "Ripple effect of ESG sentiment: How news stirs the waves in China's A-share market," International Review of Financial Analysis, Elsevier, vol. 97(C).
  22. Haitian Wei & Rasidah Mohd‐Rashid & Agung Masyad Fawzi & Chai‐Aun Ooi & Haixuan Wei, 2025. "Market Reaction to Corporate Governance Reform: Evidence From China," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 46(5), pages 2876-2894, July.
  23. Li, Qiaochu & Liu, Yuehan & Yang, Qinghe & Jian, Jianhui & Li, Tao, 2025. "Economic policy uncertainty and ESG performance," Journal of Asian Economics, Elsevier, vol. 101(C).
  24. Naeem, Muhammad Abubakr & Anwer, Zaheer & Khan, Ashraf & Paltrinieri, Andrea, 2024. "Do market conditions affect interconnectedness pattern of socially responsible equities?," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 611-630.
  25. Ícaro Guilherme Félix Cunha & Renata Veloso Santos Policarpo & Paula Cristina Senra Oliveira & Etienne Cardoso Abdala & Daisy Aparecida Nascimento Rebelatto, 2025. "A systematic review of ESG indicators and corporate performance: proposal for a conceptual framework," Future Business Journal, Springer, vol. 11(1), pages 1-25, December.
  26. Silvia Carnini Pulino & Mirella Ciaburri & Barbara Sveva Magnanelli & Luigi Nasta, 2022. "Does ESG Disclosure Influence Firm Performance?," Sustainability, MDPI, vol. 14(13), pages 1-18, June.
  27. Lei Ruan & Heng Liu, 2021. "Environmental, Social, Governance Activities and Firm Performance: Evidence from China," Sustainability, MDPI, vol. 13(2), pages 1-16, January.
  28. Srikanth Potharla & Neeraj Kumar & Pooja Choudhary & Surya Kumari Turubilli, 2024. "Is ESG Data Financially Viable? A Case of Stock Price Synchronicity," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 49(1), pages 62-81, February.
  29. Khan, Muhammad Arif, 2022. "ESG disclosure and Firm performance: A bibliometric and meta analysis," Research in International Business and Finance, Elsevier, vol. 61(C).
  30. Shahzad, Umer & Ghaemi Asl, Mahdi & Khalfaoui, Rabeh & Tedeschi, Marco, 2024. "Extreme contributions of conventional investments vis-à-vis Islamic ones to renewables," Renewable and Sustainable Energy Reviews, Elsevier, vol. 189(PB).
  31. Oh-Suk Yang & Jae-Hoon Han, 2023. "Assessing the Effect of Corporate ESG Management on Corporate Financial & Market Performance and Export," Sustainability, MDPI, vol. 15(3), pages 1-30, January.
  32. Jesús Dacio Villarreal Samaniego & Roberto Joaquín Santillán-Salgado & Luis Jacob Escobar Saldivar, 2022. "The Global Automotive Industry Stock Returns During the COVID-19 Pandemic," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(4), pages 1-21, Octubre -.
  33. Gaies, Brahim & Chaâbane, Najeh & Adeosun, Opeoluwa Adeniyi & Sahut, Jean-Michel, 2025. "Climate transition risks, ESG sentiment and market value: Insights from the European stock market," Energy Economics, Elsevier, vol. 148(C).
  34. Vittorio Carlei & Piera Cascioli & Alessandro Ceccarelli & Donatella Furia, 2025. "Can Machine Learning Explain Alpha Generated by ESG Factors?," Computational Economics, Springer;Society for Computational Economics, vol. 65(3), pages 1457-1477, March.
  35. Ionica Oncioiu & Delia-Mioara Popescu & Anca Elena Aviana & Alina Șerban & Florica Rotaru & Mihai Petrescu & Andreea Marin-Pantelescu, 2020. "The Role of Environmental, Social, and Governance Disclosure in Financial Transparency," Sustainability, MDPI, vol. 12(17), pages 1-16, August.
  36. Hai-Yen Chang & Lien-Wen Liang & Yu-Luan Liu, 2021. "Using Environmental, Social, Governance (ESG) and Financial Indicators to Measure Bank Cost Efficiency in Asia," Sustainability, MDPI, vol. 13(20), pages 1-20, October.
  37. Pedro Verga Matos & Victor Barros & Joaquim Miranda Sarmento, 2020. "Does ESG Affect the Stability of Dividend Policies in Europe?," Sustainability, MDPI, vol. 12(21), pages 1-15, October.
  38. Lu, Xiaomeng & Zhang, Xianjun & Guo, Fusen & Li, Feng, 2024. "Evaluating ESG Investment Profitability: From the Perspective of Sophistication in Investment Decision-Making," Finance Research Letters, Elsevier, vol. 69(PA).
  39. Radu-Alexandru Șerban & Diana Marieta Mihaiu & Mihai Țichindelean, 2022. "Environment, Social, and Governance Score and Value Added Impacts on Market Capitalization: A Sectoral-Based Approach," Sustainability, MDPI, vol. 14(4), pages 1-25, February.
  40. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
  41. M. Ángeles López‐Cabarcos & Helena Santos‐Rodrigues & Lara Quiñoá‐Piñeiro & Juan Piñeiro‐Chousa, 2023. "How to explain stock returns of utility companies from an environmental, social and corporate governance perspective," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(5), pages 2278-2291, September.
  42. Ma, Haoran & Lu, Shengfang & Lee, Carman K.M. & Moktadir, Md Abdul & Ren, Jingzheng, 2026. "A critical review of environmental, social, and governance (ESG) practices in the transportation sector: How does it contribute to SDGs?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 229(C).
  43. Federica Ielasi & Paolo Ceccherini & Pietro Zito, 2020. "Integrating ESG Analysis into Smart Beta Strategies," Sustainability, MDPI, vol. 12(22), pages 1-22, November.
  44. Abdulaziz Mohammed Alsahlawi & Kaouther Chebbi & Mohammed Abdullah Ammer, 2021. "The Impact of Environmental Sustainability Disclosure on Stock Return of Saudi Listed Firms: The Moderating Role of Financial Constraints," IJFS, MDPI, vol. 9(1), pages 1-17, January.
  45. Dinh, Minh Thi Hong, 2023. "ESG, time horizons, risks and stock returns," Research in International Business and Finance, Elsevier, vol. 65(C).
  46. Gen‐Fu Feng & Han Long & Hai‐Jie Wang & Chun‐Ping Chang, 2022. "Environmental, social and governance, corporate social responsibility, and stock returns: What are the short‐ and long‐Run relationships?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 29(5), pages 1884-1895, September.
  47. Ana Ivanisevic Hernaus & Davor Zoricic & Denis Dolinar, 2023. "How competitive is SRI in developing financial markets: The case of Central and Eastern Europe," E&M Economics and Management, Technical University of Liberec, Faculty of Economics, vol. 26(2), pages 172-188, June.
  48. Chen, Zhang-Hangjian & Kang, JingWen & Koedijk, Kees G. & Gao, Xiang & Gu, ZhenHua, 2024. "Short-term market reactions to ESG ratings disclosures: An event study in the Chinese stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 43(C).
  49. Francesco Cesarone & Manuel Luis Martino & Alessandra Carleo, 2022. "Does ESG Impact Really Enhance Portfolio Profitability?," Sustainability, MDPI, vol. 14(4), pages 1-28, February.
  50. Piñeiro-Chousa, Juan & López-Cabarcos, M. Ángeles & Pérez-Pico, Ada M. & Caby, Jérôme, 2023. "The influence of Twitch and sustainability on the stock returns of video game companies: Before and after COVID-19," Journal of Business Research, Elsevier, vol. 157(C).
  51. Donato Morea & Elisa Gebennini, 2021. "New Project Financing and Eco-Efficiency Models for Investment Sustainability," Sustainability, MDPI, vol. 13(2), pages 1-3, January.
  52. Olatunji Abdul Shobande & Lawrence Ogbeifun, 2022. "Sustainable Blueprint: Do Stock Investors Increase Emissions?," JRFM, MDPI, vol. 15(2), pages 1-13, February.
  53. Chabot, Miia & Bertrand, Jean-Louis, 2023. "Climate risks and financial stability: Evidence from the European financial system," Journal of Financial Stability, Elsevier, vol. 69(C).
  54. Mihaela Ionela Socoliuc & Bogdan-Stefan Ionescu & Flavius Andrei Guinea & Marian Socoliuc & Veronica Grosu & Elena Hlaciuc, 2025. "The Evaluation of the Relationship between the Companies Sustainability Reporting and Their Financial Performance," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 27(70), pages 884-884, August.
  55. Maria Rodionova & Angi Skhvediani & Tatiana Kudryavtseva, 2022. "ESG as a Booster for Logistics Stock Returns—Evidence from the US Stock Market," Sustainability, MDPI, vol. 14(19), pages 1-26, September.
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