Ricerc@Sapienza

Recent findings provide evidence that companies highly rated in terms of Environmental,
Social, and Governance (ESG) score report higher excess returns and lower volatility, this being
supported by the assumption that ESG factors are considered, by market agents, as a good proxy for
firms’ financial soundness. The aim of this paper is to investigate how ESG components aect stock
returns. We use a two-step methodology to analyze the performance of companies included in the
Eurostoxx50 index over the 2010–2018 period according to their ESG score. To classify companies in
terms of ESG commitments, we combine several ESG indicators (quantitative ratings, scorings and
qualitative-opinions) collected on a monthly basis. Our results do not support previous evidence;
the Eurostoxx50 companies’ performance does not seem to be aected by their eorts in terms of
ESG commitments.