Variable description
| Variables | Description | Sources |
|---|---|---|
| CAR | Cumulative abnormal return calculated using the CAPM model | Author's calculation |
| ESG | ESG ratings | Sustainalytics database |
| Size | Company's revenue | Yahoo Finance database |
| PM | Profit margin | Yahoo Finance database |
| DE | Debt to equity ratio | Yahoo Finance database |
| ROE | Return on equity | Yahoo Finance database |
| Div | Dividend yield | Yahoo Finance database |
| Variables | Description | Sources |
|---|---|---|
| CAR | Cumulative abnormal return calculated using the | Author's calculation |
| Sustainalytics database | ||
| Size | Company's revenue | Yahoo Finance database |
| PM | Profit margin | Yahoo Finance database |
| DE | Debt to equity ratio | Yahoo Finance database |
| Return on equity | Yahoo Finance database | |
| Div | Dividend yield | Yahoo Finance database |
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