Data for Room for sustainability: On the relationship between ESG performance and corporate value creation

This dataset contains market data and ESG information for all firms traded on the U.S., Chinese, Eurozone and Japanese equity markets for which the Refinitiv ESG Company Scores are available. The sample includes 5,619 companies covering most of the sectors traded on the those markets, where 3,180 firms are listed in the U.S., 922 in China, 1,049 in the Eurozone, and 468 in Japan. The dataset also contains exchange rates and the consumer price index for the U.S. as provided by the OECD, as well as the risk-free rate provided by Kenneth R. French on his website.