Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx50

Round 1

Reviewer 1 Report

The paper has strong merits in the substance of oits arguments and is strongly recommended for publication. It has particular merits in adressing the ESG (index) measurement inconsistencies.  

Language edits ate however required, e.g.: 

line 15: performance of companies constituents the Eurostoxx50 index... should read: performance of companies which are constituents of the Eurostoxx50 index...

This term needs to be corrected repeatedly in the text.

line 105: ....portfolio performance is needed. (verb was mnissing).

line 122: demonstrate the casual interpretation... better: case by case or differentiated 

A language edit can also correct other minor faults. 

In Tables 1 and 2 format problems should be solved (asterisks are not in the same line, line breaks in table 2). This has also been noted to the editors as a layout problems of the tables.  

Author Response

Response to Reviewer 1 Comments

Dear Authors,

The paper has strong merits in the substance of oits arguments and is strongly recommended for publication. It has particular merits in adressing the ESG (index) measurement inconsistencies.  Language edits ate however required, e.g.: 

Point 1: 


line 15: performance of companies constituents the Eurostoxx50 index... should read: performance of companies which are constituents of the Eurostoxx50 index. This term needs to be corrected repeatedly in the text.

Response 1: The problem is solved (line 15 and 59)

Point 2: 


line 105: ....portfolio performance is needed. (verb was mnissing).

Response 2: The problem is solved (line 105)

Point 3: 


line 122: demonstrate the casual interpretation... better: case by case or differentiated. A language edit can also correct other minor faults. 

Response 3:  The problem is solved (line 123-125)

Point 4: 


In Tables 1 and 2 format problems should be solved (asterisks are not in the same line, line breaks in table 2). This has also been noted to the editors as a layout problems of the tables.  

Response 4: The problem is solved

Author Response File: Author Response.docx

Reviewer 2 Report

Dear Authors,

the paper is interesting and concerns the problem of ESG risk, which has been increasingly discussed in recent years. The article is general well prepared and the research results are clearly described. My only doubt is the use of synthetic variable values ​​in the built models. The sub-indices used by the authors are created by many different indicators, variables etc. It would be worth pointing out how many individual indicators were used to create of these synthetic indices.

I also suggest presenting Table 2 horizontally. In its current form it is hardly legible.

In my opinion, some information presented below Table 3 also requires explanation. Sentences: In particular (Table 3), Banco Bilbao and Volkswagen AG are positively correlated with Governance and Engie is positively correlated with Social via "Community". Sanofi and Total Petrochemicals are negatively correlated with Social via Employees, while Iberdrola SA and Vinci SA are negatively correlated with Social via Community (lines: 305-308) require clarification. From the point of view of the considerations presented in the paper, they are important. What does it mean that Total Petrochemicals and Vinci SA are negatively correlated with Social via Community? How can we understand this information?

The article also lacks discussions. The authors omitted this part. I think that this part of the paper t should be included in a scientific study.

Author Response

Response to Reviewer 2 Comments

Dear Authors,

the paper is interesting and concerns the problem of ESG risk, which has been increasingly discussed in recent years. The article is general well prepared and the research results are clearly described.

Point 1: 
 My only doubt is the use of synthetic variable values ​​in the built models. The sub-indices used by the authors are created by many different indicators, variables etc. It would be worth pointing out how many individual indicators were used to create of these synthetic indices.

Response 1: The problem is solved (line 232 and 273)

Point 2: I also suggest presenting Table 2 horizontally. In its current form it is hardly legible.

Response 2: The problem is solved

Point 3: In my opinion, some information presented below Table 3 also requires explanation. Sentences: In particular (Table 3), Banco Bilbao and Volkswagen AG are positively correlated with Governance and Engie is positively correlated with Social via "Community". Sanofi and Total Petrochemicals are negatively correlated with Social via Employees, while Iberdrola SA and Vinci SA are negatively correlated with Social via Community (lines: 305-308) require clarification.

Response 3: The problem is solved (line 351-352)

Point 4:

From the point of view of the considerations presented in the paper, they are important. What does it mean that Total Petrochemicals and Vinci SA are negatively correlated with Social via Community? How can we understand this information?

Response 4: The problem is solved (line 351-352)

Point 5:

The article also lacks discussions. The authors omitted this part. I think that this part of the paper t should be included in a scientific study.

Response 5: The problem is solved (line 379-384)

Author Response File: Author Response.docx