*2.1. Sample*

Our study used daily data during the period 1 January 2017–12 March 2020. We collected USD denominated prices for eight MSCI equity indices and three Bloomberg Gender Equality indices, respectively:


Thus, we have constructed a database composed of 11 time series of a daily frequency (prices and returns, respectively), each with 834 observations.

All MSCI indices used in our study are free-float weighted, including only companies from developed markets within the specific region for which the index was constructed.

The Bloomberg Gender Equality indices are modified capitalization-weighted indices that measure the price performance for listed global companies, which are recognized for periodically disclosing information and implementing policies and good practices related to gender equality. BGEI is a composite of BGEIF and BGEIXF. We used the 2020 version of the Bloomberg Gender Equality Index, which is composed of 325 companies from 11 sectors of economic activity, with a combined market capitalization of over USD 12 trillion, headquartered in 42 countries and regions. Prior to being included in the index, the companies should disclose specific information within a framework based on five dimensions, and their gender performance is assessed according to them. The five criteria are female leadership and talent pipeline, equal pay and gender pay parity, inclusive culture, pro-women brand, and anti-sexual harassment policies. Only the listed companies with a market capitalization over USD 1 billion that score above a globally established threshold, based on disclosure and best-in-class components, are included in the annual index.
