Data from: Financial performance of sustainable investments in global stock markets

Supporting information related to the manuscript “Financial performance of sustainable investments in global stock markets”, submitted in June 2019 to Business Strategy and the Environment. The “Supporting information (database).xlsx” file summarizes the manuscript related data and provides step-by-step procedures to collect the original series and make the necessary transformations for subsequent (financial performance) analysis. The database comprises daily US$ prices of five sustainability indices (and of five market portfolios, used as benchmarks for the sustainability indices) and the risk-free rate, represented by the 4-week US Treasury bill (T-bill) rate, from January 1st 2013 to December 31st 2018. The file also provides the probabilities of the assessed indices’ returns falling between -1.0% and 1.0%, as discussed in Section 4.2 of the manuscript. The “Supporting information (literature overview).docx” file summarizes important information from the most recent and/or cited studies related to the performance of sustainability indices, based on queries on Scopus and Web of Science databases.