The Impact of ESG Scores on Risk Market Performance

Over the last two decades, there has been an increased attention to and awareness of corporate environmental, social, governance (ESG) responsibilities. The asset allocation process changed accordingly consider these ESG responsibilities, it largely recognized that private institutional investors are sensitive factors when deciding on firms in which invest. In addition factors, other key stock-related generally pay risk-adjusted indicators, such as Sharpe ratio (SR) Sortino index (SI), well tail risk measures, Value-at-Risk (VaR) Expected Shortfall (ES). Overall, SR, SI, VaR, ES can provide a guide for concerning market performance stock under investigation. this context, research question arises is following: firms’ performances rates? present contribution aims answer question. particular, measures set listed calculated evaluated. Among these, with low grades some high according rate providers. list stocks consideration consists first 25 constituents (by weight) S&P500 period from 2020 2022. empirical findings indicate does not properly depend or rates.