Download Sustainalytics ESG ratings via the Morningstar Direct Excel add-in.
Filter the Datastream global equity universe and auto-update DFO request tables, following Griffin, Kelly and Nardari (RFS, 2010) and Chaieb, Langlois and Scaillet (JFE, 2021).
Build monthly USD returns for individual stocks in the Compustat Global universe, following the filters and cleaning of Chaieb, Langlois and Scaillet (JFE, 2021).