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.
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.