Do sustainable firms carry less tail risk? Distributional asymmetries between HVA and Non-HVA equities

We examine whether sustainability classification leaves a measurable footprint in short-horizon performance and risk. Using daily data for large, listed firms across G7 markets (2014–2023), we compare sustainable (HVA-classified) and non-HVA firms on returns, short-horizon volatility proxy, and GARCH (1,1) conditional volatility. Mean/median daily returns are statistically close across groups, while non-parametric and parametric tests (Welch t, Wilcoxon) indicate modest but significant differences in risk: HVA firms exhibit slightly lower realized and conditional volatility. Distribution-wide diagnostics (Kolmogorov–Smirnov and density plots) reveal that conditional volatility distributions differ systematically between groups across all G7 countries, whereas return distributions largely overlap around zero with heavy tails. Standardized effect sizes are small, implying economic differences are limited at the daily horizon. The pattern is consistent with sustainability operating primarily as a risk-mitigation attribute, via governance, disclosure, and operational resilience, rather than through large unconditional return premia. Findings inform portfolio construction and risk control by emphasizing distributional risk metrics beyond averages. While group differences attain statistical significance owing to the large sample (N = 186,096 firm-days), all standardized effect sizes are negligible (Hedges' g: 0.009–0.025), indicating substantial distributional overlap between groups. Results should be interpreted as descriptive evidence of a modest sustainability footprint at daily horizons, not as evidence of economically large differences.