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Do ESG Factors Prove Significant Predictors of Systematic and Downside Risks in the Russian Market after Controlling for Stock Liquidity?

Author

Listed:
  • Tamara Teplova

    (Centre for Financial Research & Data Analytics, HSE University, 109028 Moscow, Russia)

  • Tatiana Sokolova

    (Centre for Financial Research & Data Analytics, HSE University, 109028 Moscow, Russia)

  • Sergei Gurov

    (Centre for Financial Research & Data Analytics, HSE University, 109028 Moscow, Russia)

Abstract

This paper reveals the impact of environmental, social, and governance (ESG) scores on systematic and downside risks in the Russian stock market. We analyze the influence of a broad set of ESG factors controlling for stock liquidity, financial indicators of companies, and macroeconomic indicators. The period under consideration is from 2013 to 2021. The methodology of our research is based on regression analysis with multiplicative variables to reveal the changes induced by the COVID-19 pandemic. We obtain several novel results. Social responsibility is one of the most significant non-fundamental factors influencing both systematic and downside risks. The most important environment-related component is the measure of a company’s propensity to environmental innovations. Some dimensions of stock liquidity are also significant. For some factors, such as the COVID-19 pandemic and debt burden, we find an unexpected direction of influence on liquidity.

Suggested Citation

  • Tamara Teplova & Tatiana Sokolova & Sergei Gurov, 2024. "Do ESG Factors Prove Significant Predictors of Systematic and Downside Risks in the Russian Market after Controlling for Stock Liquidity?," JRFM, MDPI, vol. 17(4), pages 1-18, April.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:172-:d:1380366
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    References listed on IDEAS

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    Cited by:

    1. Adil Haniev & Viktoriya V. Suhih, 2025. "Analysis of the Impact of ESG Initiatives on the Financial Performance of Shareholders in Russian Companies," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 24(1), pages 319-343.
    2. Mithilesh Gidage & Shilpa Bhide & Rajesh Pahurkar & Ashutosh Kolte, 2024. "ESG Performance and Systemic Risk Nexus: Role of Firm-Specific Factors in Indian Companies," JRFM, MDPI, vol. 17(9), pages 1-28, August.

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