Is ESG-ness the vaccine?

ABSTRACT

In an attempt to foster debate on whether firms’ commitment to ESG policies affects stocks risk-adjusted performance, we analysed the blue-chips of the European countries most affected by COVID-19. We found statistical evidence that companies that follow high ESG standards outperformed low ESG-ranked firms during Phase 1 of COVID-19. In particular, the dampening effect on the downside stock market movement was more evident during the first part of Phase 1 characterized by the sudden crash of stock prices.

KEYWORDS:

• Socially responsible investments
• corporate social responsibility
• ESG
• CSR performance
• COVID-19

JEL CLASSIFICATION:

• G19
• G30
• M14

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

¹ Welch’s two sample t-test 2.0513 (P-val = 0.0432).

² Welch’s two sample t-test −2.7879 (P-val = 0.0065).

³ Anyone interested in the results of the other models may contact the author.