ESG alpha research data from 2000 to 2022

Principal Investigator(s):  View help for Principal Investigator(s) Chakshay Sharma, SP Jain School of Global Management, Sydney, Australia; Priti Bakhshi, SP Jain School of Global Management, Mumbai, India; Suchismita Das, SP Jain School of Global Management, Mumbai, India

Version:  View help for Version V1

Name File Type Size Last Modified
Bulk Data.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 95.2 MB 08/04/2023 09:10:PM
EURO STOXX 50 Index.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 170.7 KB 08/03/2023 01:06:PM
EURO STOXX 50 Volatility 1 Month.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 103.1 KB 07/14/2022 08:38:AM
EURO STOXX 600 Index.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 166.4 KB 07/14/2022 08:41:AM
FTSE 100 IVI 30 Days.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 75.3 KB 07/14/2022 08:42:AM
FTSE 100 Index.xlsx application/vnd.openxmlformats-officedocument.spreadsheetml.sheet 173.1 KB 07/14/2022 08:41:AM

Project Citation: 

Sharma, Chakshay, Bakhshi, Priti, and Das, Suchismita. ESG alpha research data from 2000 to 2022. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2023-08-05. https://doi.org/10.3886/E193128V1

Project Description

Summary:  View help for Summary Five small files contain daily index data for volatility and implied volatility of EURO STOXX 50, EURO STOXX 600 (only volatility data) and FTSE 100. This was collected from Refinitiv EIKON.

The large file contains ESG ratings of all European companies, and the adjusted daily prices of most of these companies. The ESG ratings were collected from Refinitiv EIKON. The adjusted daily prices were collected from Yahoo Finance!.

Scope of Project

Subject Terms:  View help for Subject Terms ESG; ESG alpha; ESG investing; Positive screening; Equity portfolio; ESG ratings
Geographic Coverage:  View help for Geographic Coverage Europe
Time Period(s):  View help for Time Period(s) 2000 – 2022 (Daily adjusted stock price data)
Collection Date(s):  View help for Collection Date(s) 2022 – 2022
Universe:  View help for Universe Europe

Methodology

Sampling:  View help for Sampling All stocks with ESG ratings
Data Source:  View help for Data Source ESG rating data source: Refinitiv EIKON
Adjusted daily stock price data source: Yahoo Finance!
Index volatility data source: Refinitiv EIKON

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V1 [2023-08-05]

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