This paper examines the link between a firm’s corporate social performance based on Thomson Reuters ESG (environmental, social and governance) scores and its overall risk (total, idiosyncratic, and systematic risk including downside risk measures), drawingon an extensive panel data sample of STOXX Euro 600 constituents from 2002 to 2018. I found that firm risk (both total and systematic risk) among STOXX Euro 600 members was negatively associated with ESG score, and in particular with social pillar score. This link was stronger during periods of high volatility.

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Thesis Advisor Urban, D.L.
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Series Financial Economics
Tan, M. (2020, July 28). The relationship between corporate social responsibility and firm risk during periods of high volatility in Europe. Financial Economics. Retrieved from