Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/251516 
Year of Publication: 
2022
Series/Report no.: 
Frankfurt School - Working Paper Series No. 230
Publisher: 
Frankfurt School of Finance & Management, Frankfurt a. M.
Abstract: 
The economic and political developments of the past years show an increasing importance of a possible risk-reducing of the company due to good ESG performance. Our work contributes by examining the impact of relatively better ESG performance of companies on their implied and historical share volatility. Our regressions show a clear relationship between the volatilities and the ESG ratings of the market-leading agencies (Bloomberg, Refinitiv, Sustainalytics and MSCI) and our combined score. A better ESG performance measured by the company's ESG rating(s) has a risk-reducing effect in the form of lower stock volatility. However, our combined rating has the strongest impact.
Subjects: 
Environmental
Social and Governance (ESG)
ESG Ratings
ESG Rating Filter
Equity Volatility
Historical Volatility
Implied Volatility
Company Risk Performance
JEL: 
G11
G24
G32
Q56
Document Type: 
Working Paper

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