Gabriel da Rosa Janone

Sustainability as a Defensive Strategy: ESG, Risk Exposure, and Returns in US Stocks

ABSTRACT We analyzed the relationship between environmental, social, and governance (ESG) metrics, financial risk, and expected returns in the US stock market, using data from S&P 500 companies over the period from 2007 to 2022 using aggregate ESG scores from Refinitiv (LSEG). We...