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

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.