Does ESG Improve Crisis Resilience? Empirical Evidence of Global Emerging Equity Markets during the Covid-19 Crisis

Naffa, Helena ORCID: https://orcid.org/0000-0003-4284-1601 and Dudás, Fanni (2024) Does ESG Improve Crisis Resilience? Empirical Evidence of Global Emerging Equity Markets during the Covid-19 Crisis. Periodica Polytechnica Social and Management Sciences, 32 (1). pp. 17-27. DOI https://doi.org/10.3311/PPso.19147

Preview

PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
1MB

Official URL: https://doi.org/10.3311/PPso.19147

Abstract

We examine the role of Environmental, Social, and Governance (ESG) factors in explaining the crisis resilience of 1031 global emerging market (GEM) equities during the Covid-19 crisis downturn of Q1 2020. We use linear and quantile regressions (QR) and find a statistically significant negative relationship between a firm's ESG management score and crisis resilience as proxied by stock maximal drawdown. Our results suggest that companies with better ESG management were less crisis resilient, a finding consistent with agency-theory-based explanations found in the literature. Results are robust across all OLS and QR models.

Item Type:

Article

Uncontrolled Keywords:

ESG investing, capital markets, crisis resilience, pandemic, quantile regression

Divisions:

Corvinus Doctoral Schools
Institute of Finance

Subjects:

Finance

DOI:

https://doi.org/10.3311/PPso.19147

ID Code:

9592