Set of data used in the paper The impact of ESG dimensions on firm risk of hospitality and tourism industry. The data were obtained from Thomson Reuters Eikon database (TR_Eikon), we selected those companies whose activity sector was H&T regardless of their country of origin. The data are due in "xls" format and structured in two sheets. - the first sheet contains the selected companies, with the next information: Company Name NAICS Sector Code NAICS Subsector Code NAICS Industry Code NAICS National Industry Name Muestra Final: an indicator variable used to remark that the respective company is used in the study. - The second sheet contains the next information: Company Id: The Company Identificator. A number differentiating each company from the rest. Year: The year of the correspondig register. P_Crisis: Pandemic Crisis. Dummy variable coded 1 if year is 2020, 0 otherwise. F_Crisis Financial Crisis: Dummy variable coded 1 if year is from 2008 to 2012, 0 otherwise Firm_Size: Firm size. Logarithm of total asses Leverage: Leverage. Total debt to total assets ROA: Return on assets. EBITDA divided by total assets B_Gender: Gender diversity. Number of women directors as a percentage of total directors on the board B_Independence: Independence. number of independent directors as a percentage of total directors on the board B_Size: Board size. Number of directors on the board Duality: CEO duality. Dummy variable taking the value 1 if the chairperson of the board is the CEO and 0 otherwise ESG_Score: Evironmental Social and Governance Score. A weighted average relative rating based on reported environmental, social and governance information and ranges between 0 (worst) and 100 (best). It is provided by Eikon Thomson Reuters SOC_Score: Social Pillar Score. A weighted average relative rating based on reported social information and ranges between 0 (worst) and 100 (best). It is provided by Eikon Thomson Reuters GOV_Score: Governance Pillar Score. A weighted average relative rating based on reported governance information and ranges between 0 (worst) and 100 (best). It is provided by Eikon Thomson Reuters ENV_Score: Environmental Pillar Score. A weighted average relative rating based on reported environmental information and ranges between 0 (worst) and 100 (best). It is provided by Eikon Thomson Reuters Dependent variables D2D: Distance of Default. Merton���s distance to default SD_R: Volatility of the stock returns. Standard deviation of daily stock returns