ESG and stock return volatility: Evidence from industry analysis in Europe
ESG and stock return volatility: Evidence from industry analysis in Europe
Author(s): Diana-Mihaela SanduSubject(s): Politics / Political Sciences, Politics, Economy, Business Economy / Management, Energy and Environmental Studies, Governance, EU-Approach / EU-Accession / EU-Development, Socio-Economic Research
Published by: EDITURA ASE
Keywords: impact of environmental, social and governance; stock return volatility ; European industries;
Summary/Abstract: This study investigates the impact of environmental, social and governance factors on stock return volatility in different European industries. Employing a sample of European companies belonging to different industries (Basic Materials, Consumer Cyclicals, Consumer Non-Cyclicals, Energy, Financials, Healthcare, Industrials, Real Estate, Technology and Utilities), I tested if ESG performance and ESG controversies influence volatility. Additionally, the study analyses the impact of the individual Environmental, Social and Governance pillars of ESG to determine through which component ESG affects volatility. Research findings showed that ESG factors impact stock return volatility across industries. The findings of the study contribute to and enrich the academic literature in this field through an industry analysis.
Journal: The Review of Finance and Banking
- Issue Year: 16/2024
- Issue No: 1
- Page Range: 121-136
- Page Count: 16
- Language: English
