We test the performance of two ESG score-driven quantitative signals on a large, multi-national crosssection of European stock returns. In particular, we ask whether in the cross-section, the cost of equity capital is more strongly affected by the (upward) “slope” (identified as momentum...

We aim to explore the interplay between ESG scores and assets characteristics, specifically focusing on volatility. We classify stocks on the basis of both high/low ESG and high/low ESG momentum and we evaluate ESG effects by measuring the distance between the 2 group distributions. The analysis...