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On the relationship between financial and sustainable variables: insights from graphical gaussian model
Sella SGR, Milan, Italy.
Department of Economics, University of Perugia, Perugia, Italy.
Department of Human Sciences, Link Campus University, Rome, Italy.
Umeå universitet, Samhällsvetenskapliga fakulteten, Handelshögskolan vid Umeå universitet. Department of Economics, University of Perugia, Perugia, Italy.ORCID-id: 0000-0002-2503-8342
2024 (Engelska)Ingår i: The Journal of Financial Management, Markets and Institutions, E-ISSN 2282-717X, artikel-id 2430001Artikel, forskningsöversikt (Refereegranskat) Epub ahead of print
Abstract [en]

In recent years, attention toward Environmental, Social and Governance (ESG) issues has become increasingly important in the investment decision-making process, prompting interest of investors, companies, regulators and researchers on the possible relationships between financial performances and sustainable variables. With the aim to increase our understanding of these relationships, we use a graphical modeling approach on the MSCI and Bloomberg sustainable dataset for years from 2017 to 2021. Our analysis shows that companies with a higher level of compliance with ESG standards have lower assets' volatility than others and are not penalized in terms of returns. Furthermore, the increasing level of mandatory disclosure within the European area, induced by the current regulation, has reduced the strength of the positive relationship between Disclosure Score and ESG Score. Moreover, the negative relationship between ESG Score and volatility remains consistent across temporal and geographic areas.

Ort, förlag, år, upplaga, sidor
World Scientific, 2024. artikel-id 2430001
Nyckelord [en]
ESG disclosure, graphical Gaussian model, partial correlation, socially responsible investments, sustainability, sustainable investments
Nationell ämneskategori
Företagsekonomi
Identifikatorer
URN: urn:nbn:se:umu:diva-221780DOI: 10.1142/S2282717X24300010Scopus ID: 2-s2.0-85185812245OAI: oai:DiVA.org:umu-221780DiVA, id: diva2:1843826
Tillgänglig från: 2024-03-12 Skapad: 2024-03-12 Senast uppdaterad: 2024-03-12

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Stanghellini, Elena

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