This study examines the impact of environmental, social and governance performance and controversies on stock return volatility. For this purpose, I considered a sample of 1095 European companies from 23 countries during 2019–2022 and it was applied panel regression. This study found a direct influence of ESG controversies on stock return volatility, but the coefficient of the dependence is close to zero. Similarly, the ESG performance has a direct impact on volatility and the coefficient of dependence is different from zero. This result shows that companies with a better performance on ESG face higher stock return volatility. The study findings enrich the academic literature and can help investors in the investment decisions making.

DOI: https://doi.org/10.3846/bm.2023.1032