Data from: Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets

Supporting information related to the manuscript “Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets”. The “Supplementary 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.