On the Relationship Between Financial and Sustainable Variables: Insights From Graphical Gaussian Model

26 Pages Posted: 4 Jan 2023 Last revised: 9 Jan 2023

See all articles by Carmine Da Fermo

Carmine Da Fermo

affiliation not provided to SSRN

Paola Musile Tanzi

SDA Bocconi; Università degli Studi di Perugia

Marco Nicolosi

Link Campus University

Elena Stanghellini

University of Perugia - Department of Economics

Date Written: December 27, 2022

Abstract

In recent years, the use of ESG information in the investment decision-making process has become increasingly important, with the consequence that more and more investors, companies, regulators and researchers are frequently interested in the possible relationships between financial performances and sustainable variables. With the aim to increase our understanding about these relationships, we use a graphical modelling approach on MSCI and Bloomberg sustainable dataset for years from 2017 to 2021. Main results show that companies with low ESG scores make generally less disclosure of sustainability data and are more volatile than companies with a high ESG score. Moreover, for all years from 2017 to 2021, investing in companies with higher ESG score does not penalize in terms of returns.

Keywords: Sustainability, Graphical Gaussian Model, Partial Correlation, ESG Disclosure

Suggested Citation

Da Fermo, Carmine and Musile Tanzi, Paola and Nicolosi, Marco and Stanghellini, Elena, On the Relationship Between Financial and Sustainable Variables: Insights From Graphical Gaussian Model (December 27, 2022). Available at SSRN: https://ssrn.com/abstract=4312617 or http://dx.doi.org/10.2139/ssrn.4312617

Carmine Da Fermo

affiliation not provided to SSRN

Paola Musile Tanzi

SDA Bocconi ( email )

Via Bocconi 8
Milan, Milan 20136
Italy

Università degli Studi di Perugia ( email )

Via Pascoli, 20
Perugia, 60123
Italy

Marco Nicolosi (Contact Author)

Link Campus University ( email )

Via del Casale di San Pio V, 44
Rome, Rome 00165
Italy

Elena Stanghellini

University of Perugia - Department of Economics ( email )

via Pascoli, 20
PG 06123 Perugia, 06123
Italy

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