ESG score and volatility in the European stock market

Abstract

We aim to investigate the relationship between ESG score and assets characteristics, focusing on volatility.We classify stocks based on both high/lowESG scores and high/low ESG momentum and we evaluate ESG effects by measuring the distance between the two group distributions. The analysis of stocks in the STOXX600 Index from 2017 to 2022 suggests that companies with higher ESG outperform companies with lower ESG, which are consistently characterized by higher volatility. Our findings also highlight and compare the effects related to the COVID pandemic and the war in Ukraine