Abstract
Corporate sustainability is the top concern of the whole society, and whether environmental, social, and governance (ESG), as a way to measure corporate sustainability, has an impact on company stock returns and volatility is widely discussed. This article investigates how ESG performance influences the return of stocks and volatility for all A-share companies during the period of 2019 to 2022. The research employs the composite ESG score and the separate E, S, and G scores to evaluate the ESG performance of corporations, and employs regression models to examine the association between ESG score, individual score, and stock returns. Additionally, the study examines how the volatility of the stocks is related to the ESG score and individual score. In the results, the combined ESG score is significantly and negatively related to stock returns. Returns on stocks are significantly negatively influenced by individual E, S, and G scores. Moreover, stock volatility is significantly negatively correlated with the combined ESG score and individual score.
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