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ESG and stock return volatility: Evidence from industry analysis in Europe

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  • Diana Mihaela Sandu

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.

Suggested Citation

  • Diana Mihaela Sandu, 2024. "ESG and stock return volatility: Evidence from industry analysis in Europe," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 16(1), pages 121-136, June.
    • Handle: RePEc:rfb:journl:v:16:y:2024:i:1:p:121-136
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