DYNAMIC OF ESG PERFORMANCE AND RISK-RETURN CORRESPONDENCE FOR LARGE US COMPANIES: EMPIRICAL ANALYSIS OF THE DJIA INDEX BASKET
DOI:
https://doi.org/10.17721/1728-2667.2026/228-1/5Keywords:
environmental, social, and governance reporting, ESG scoring, risk-return correspondence, K-ratio, correlation analysisAbstract
B a c k g r o u n d . Legislative and regulatory changes are reshaping the landscape of Environmental, Social, and Governance (ESG) principles. This is prompting companies to reassess their commitments and implement new business development strategies that align with sustainable development. At the same time, certain "anti-ESG" trends, primarily in the US, are creating uncertainty regarding ESG performance dynamics, and the risk-return correspondence dynamics also appear unstable. These developments motivated the study's purpose: to examine the dynamics of ESG and risk-return correspondence from 2019 to 2024. This paper presents results on the dynamics of 10 ESG subindexes and the K-ratio indicator for the largest US companies from 2019 to 2024. We also analyzed the hypothesis concerning the correspondence between ESG performance and the investment risk-return ratio.
M e t h o d s . Employed methods include factual and comparative analysis, statistical techniques, correlation estimation, risk-return measurement, synthesis, and deduction.
R e s u l t s . We estimated the dynamics of subindices for 30 US companies from the Dow Jones Industrial Average (DJIA) index basket using statistical analysis of ESG scores. The subindexes exhibited convex upward trajectories, reaching their highest scores in the year when the COVID-19 pandemic began. Analyzing risk-return correspondence from 2019 to 2024 revealed persistent and significant changes in this ratio's value. A statistical analysis of the relationship between ESG scores and risk-return correspondence showed that there is no clear correlation between these two components. Therefore, it can be concluded that these two factors have distinct dynamics and that there is no clear relationship between ESG performance and market risk-return outcomes.
C o n c l u s i o n s . ESG principles are becoming an important component of sustainable business development; however, this process remains multifaceted and complex for large companies. The implementation of ESG scoring systems by several global rating agencies enables the identification and analysis of numerical patterns of this development. Current research focuses on analyzing the impact of ESG reporting on corporate financial and investment performance. Identifying such regularities will improve our understanding of the role and significance of ESG in the holistic analysis of corporate development.
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Copyright (c) 2026 Андрій КАМІНСЬКИЙ, д-р екон. наук, проф., Марина НЕГРЕЙ, канд. екон. наук, доц., Нуно АЛЬМЕЙДА, д-р екон. наук, проф., Іван ШАЛЕНИК, асп.
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