Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/281523 
Year of Publication: 
2020
Citation: 
[Journal:] Amfiteatru Economic Journal [ISSN:] 2247-9104 [Volume:] 22 [Issue:] 55 [Year:] 2020 [Pages:] 707-725
Publisher: 
The Bucharest University of Economic Studies, Bucharest
Abstract: 
Inclusion in the European Sustainability Index is a feature of companies that are perceived as "sustainable" in general. The objective of the research in this article is to analyse the perception of investors by investigating the extent to which these companies have lower risks than their peers (from the same industry). Consolidated risk measurement methodologies such as value at risk and expected shortfall have been used to conduct this research. We separated companies in the STOXX Europe 600 in two classes: firms that belong to EURO STOXX sustainability index and companies that belong only to the STOXX 600 index. Dynamic daily risk measures have been estimated for all these companies for the last decade (4 January 2010 - 3 March 2020), using data extracted from Bloomberg Professional platform. We show that the sustainable companies exhibit lower risks in the second part or our sample and that this phenomenon is irregular across sectors, but tends to be consistent inside a sector.
Subjects: 
companies' sustainability
risk management
stock indices
value at risk (VaR)
expected shortfall
JEL: 
G11
G15
G32
Q56
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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