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The role of ESG factor in stock clustering based on risk-return-liquidity dimensions

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  • Staněk Gyönyör, Lucie
  • Horváth, Matúš
  • Stašek, Daniel
  • Stachoň, Martin

Abstract

ESG stocks exhibit discernible attributes that encompass both financial and non-financial considerations. Our study examines whether ESG stocks provide unique characteristics in terms of return, risk, and liquidity. We use a multivariate statistical approach to analyze the ESG ratings of S&P 1200 stocks from seven major data providers and their structural combinations. The findings indicate the absence of a general systematic effect over seven consecutive years. Still, unidimensional scores, particularly Governance, demonstrate greater significance compared to multidimensional indicators, suggesting the financial importance of core ESG information and its usefulness in financial decision-making. Besides, we discuss the effect of specific events and investors’ understanding of ESG scores’ representation. Although the article argues for a substantial overlap between traditional financial analysis and the core features of the Governance dimension, ESG may not emerge as a dominant factor in stock clustering and, thus, cannot be recognized as a separate sub-asset class indicator.

Suggested Citation

  • Staněk Gyönyör, Lucie & Horváth, Matúš & Stašek, Daniel & Stachoň, Martin, 2025. "The role of ESG factor in stock clustering based on risk-return-liquidity dimensions," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002754
    DOI: 10.1016/j.najef.2024.102350
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    Keywords

    ESG; Classification; Sustainability; SRI; Cluster analysis;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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