Financial analysis with ESG data
ESG vs. financial performance of large cap firms
As no consensus has been reached, investors are still asking whether investing in firms that score highly on sustainability issues leads to lower returns.
Sustainable investing is a lasting trend in modern investment management, tomorrow's investors are more committed to sustainability and make more environmentally aware choices. While the intentions of investors are clear, incorporating sustainability in investment management remains controversial.
Our recently commissioned analysis by Probability & Partners investigates the relationship between Refinitiv ESG scores for large cap firms and their financial performance.
Using a robust panel data methodology and an extensive dataset spanning over 2,000 companies and 9 years, the white paper focuses on how stock returns, market value and volatility of firms in 4 regions (EU, U.S., Australia and Asia) are related to their ESG performance.
The quant analysts place ESG in the framework of well-known statistical models that aim to explain a firm’s stock returns as a function of many variables, such as firm’s size and its financial ratios. We also investigate how the ESG data quality differs per region and reporting period, and how financial characteristics other than stock returns are related to ESG scores.
Download the white paper to find out:
- Firm characteristics vs. ESG scores - We look at the relationship between ESG scores, market values, annual excess returns and volatilities for 6 indices.
- Panel data model estimations - The white paper presents a robust panel data methodology which is used to show the relationship between returns and highly ESG scoring companies.
- Covid-19 - What does sustainability mean in terms of resilience in the times of crisis?
are covered by the Refinitiv ESG database
of global market cap is covered by the Refinitiv ESG database
are covered in the Refinitiv ESG database
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Refinitiv provides the most transparent ESG data in the industry, allowing investors to use this fast growing dataset with confidence to generate new IP in executing investment strategies and driving outperformance.