ESG Impact on Market Performance of Firms: International Evidence

This study investigates how news-based scores in ESG (Environmental, Social, andcorporate Governance) may have influenced the monthly stocks’ market returnin Switzerland, the US, and the UK during the 2007—2011 period. We find that the variation of the overall ESG score is only significant in the UK. We also show thatthe changes in sub-category ratings of GRI (namely, governance, economic, environment, labor, human rights, society, andproducts) exhibit a small but significant impact on the stock’s performance during limited periods or on limited sectors, which varies among the countries. Finally,our non-parametric kernel regression highlights that the function linking a stock’s performance to its ESG-score changes is probably non-linear. This study relies on data provided by Covalence. More…

Source: International Management