Does sustainability activities performance matter during financial crises? Investigating the case of COVID-19

研究成果: Contribution to journalArticle査読

3 被引用数 (Scopus)

抄録

As a market for sustainability investing is growing rapidly, understanding the impact of environmental, social, and governance (ESG) activities on firms’ financial performance is becoming increasingly important. In this study, we examine the effect of ESG performance on stock returns and volatility during the financial crisis resulting from the coronavirus (COVID-19) pandemic. To quantify the impact, we use company-level daily ESG score data and United Nations Global Compact (GC) score data. In our dataset, ESG scores indicate ESG performance that is deemed important to financial materiality, and the GC score indicates the firm reputation for following UN rules. Our results indicate that during the pandemic, an increase in the ESG score, especially the E score component, is related to higher returns and lower volatility. Conversely, increasing GC scores is correlated with lower stock returns and higher volatility. In addition, we find that firms in lower return groups benefit more than other firms. Focusing on energy sector impacts, we show that although the non-energy sector benefits more than the energy sector from increasing E scores, energy sector firms can still reduce their stock price volatility by increasing these scores. Our study offers significant implications for ESG investment strategies during financial crises.

本文言語英語
論文番号112330
ジャーナルEnergy Policy
155
DOI
出版ステータス出版済み - 8 2021

All Science Journal Classification (ASJC) codes

  • エネルギー(全般)
  • 管理、モニタリング、政策と法律

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