Data for: Short-run and long-run effects of ESG policies on value creation and the cost of equity of firms

We compile all accounting and market data from the Datastream database. Specifically, we use the ‘Worldscope Balance Sheet’ and ‘Worldscope Profit & Loss Statement’ templates to compile the financial statements of all listed firms in the four largest economies in the euro zone by GDP (i.e. Germany, France, Italy and Spain) for which Refinitiv® ESG Scores are available. The data series comprise 487 firms and a time interval of annual data that goes from 2016 to 2020.
Variations in ESG scores are determined using Refinitiv® ESG Scores, specifically, the Environmental Score, the Social Score and the Governance Score.