Data sets for "Does ESG impact really enhance portfolio profitability?"

Anonymized data sets for the paper "Does ESG impact really enhance portfolio profitability?" (F. Cesarone, M.L. Martino, A. Carleo), Sustainability, Vol. 14(4), 2050 (2022), https://doi.org/10.3390/su14042050. The package contains the daily prices (adjusted for splits and dividends) and the daily ESG scores of the constituents, together with the daily prices of the market index, in .xlsx and .mat format, for five markets, from 06/10/2006 to 31/12/2020 (3715 daily observations): Dow Jones Industrial (28 assets), Euro Stoxx 50 (45 assets), FTSE 100 (80 assets), NASDAQ 100 (54 assets) and S&P 500 (336 assets). Because of file size limits, the data are split into one zip file per market; for the S&P 500, the .mat file and the .xlsx file are provided separately. The data are anonymized: asset names, tickers and dates have been removed, and each file contains only numeric matrices (rows are time periods in chronological order, columns are assets).