sunshineluyao/esg

Data Duration

This study focuses mainly on the period of January to July 2020, during which, COVID-19 spread to Europe and North America, and the World Health Organization declared the coronavirus a global pandemic.

The Stock Data

We requested financial data of companies listed in S&P 1500 from FACTSET, a financial data supplier. The variables we used for analysis include daily closing price, market value, and MSCI ESG rating score (MSCI, 2020). This list combines S&P 500, S&P MidCap 400, and S&P Small 600 and ccounts for approximately 90% of U.S. market capitalization.

Treasury Data

We use the three-month U.S. Treasury bill as the proxy for the return of risk-free assets. The data is downloaded from FRED-Economic Data. The original data is annualized using a 360-day year or bank interest.

The Pandemic Data

We use pandemic data from Our World in Data (OWD) ([Webpage]; [Github]) based at Oxford University. (Ritchie et. al. 2020) The pandemic data is constituted of daily total-cases data and new-cases data (See full codebook from the source data) in the United States and Globally (See Source Information by Country) from January to the end of June 2020. The first corona-virus case was found on January 20, so we take this date as the start point of the pandemic in the United States.

References

Ritchie, Hannah. 2020. “Coronavirus Pandemic (COVID-19).” Our World in Data. https://ourworldindata.org/coronavirus

MSCI, Inc. 2020. “Methodology Book for The MSCI ESG Rating Select And The MSCI: ESG Rating Select Decrement Indexes.” https://www.msci.com/eqb/methodology/meth_docs/MSCI_ESG_Rating_Select_Indexes_Methodology_Feb2020.pdf.