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

Authors

  • Helena Naffa
    Affiliation
    Department of Corporate Finance, Institute of Finance, Corvinus University of Budapest, Fővám tér 8, H-1093 Budapest, Hungary
  • Fanni Dudás
    Affiliation
    Department of Corporate Finance, Institute of Finance, Corvinus University of Budapest, Fővám tér 8, H-1093 Budapest, Hungary
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.

Keywords:

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

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Published Online

2023-02-03

How to Cite

Naffa, H., Dudás, F. (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. https://doi.org/10.3311/PPso.19147

Issue

Vol. 32 No. 1 (2024)

Section

Articles