The effect of ESG on stock price variations for S&P500 companies, including Banks and Insurances ​

The aim of the study is to determine whether or not ESG affects the fluctuation in stock prices. In order to do so a statistical analysis has been carried out, using the company belonging to the S&P500 index as a sample. The sample has been chosen so that it can represent a large variety of industries and different companies, with a geographical limitation being the US market. The proxy for the fluctuation in price change has been selected to be the monthly return, calculated beginning from the daily returns of the companies using the database CRSP. The ESG variables have been selected to be Governance, Environment, Employee and Community: these variable are the four main categories of the CSR Hub database, a reliable source that is committed to assigning a score reflecting the ESG-CSR performance of each company. Each main category is composed by three sub-categories and its score is determined by a weighted average of the three sub-categories scores. The time frame selected for this study spans from January, 2015 to December, 2020.