Pasquini-Descomps, Hélène; Sahut, Jean-Michel - Institut de Préparation à l'Administration et à la … - 2014
monthly market return in the Swiss, US and UK stock markets. We are using a four-factor based linear model following during … the 2007-2011 period, as well as a non-parametric model for Switzerland only. For market returns, we find that the … variation of the Global ESG score is a significant but slightly negative factor of a stock’s monthly performance in the UK, but …