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ESG Ratings and Stock Performance during the COVID-19 Crisis

Author

Listed:
  • Nils Engelhardt

    (Faculty of Business and Economics, TU Dortmund University, Otto-Hahn-Str. 6, 44227 Dortmund, Germany)

  • Jens Ekkenga

    (Faculty of Law, Justus Liebig University of Giessen, Licher Str. 76, 35394 Giessen, Germany)

  • Peter Posch

    (Faculty of Business and Economics, TU Dortmund University, Otto-Hahn-Str. 6, 44227 Dortmund, Germany)

Abstract

We investigate the association between Environmental, Social, and Governance (ESG) ratings and stock performance during the COVID-19 crisis. Although there is mixed evidence in the literature whether ESG is valuable in times of crisis, we find high ESG-rated European firms to be associated with higher abnormal returns and lower stock volatility. After decomposing ESG into its separate components, we find the social score to be the predominant driver of our results. Further, we argue that ESG is value-enhancing in low-trust countries, and in countries with poorer security regulations and where lower disclosure standards prevail.

Suggested Citation

  • Nils Engelhardt & Jens Ekkenga & Peter Posch, 2021. "ESG Ratings and Stock Performance during the COVID-19 Crisis," Sustainability, MDPI, Open Access Journal, vol. 13(13), pages 1-15, June.
  • Handle: RePEc:gam:jsusta:v:13:y:2021:i:13:p:7133-:d:581983
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    References listed on IDEAS

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    CSR; COVID-19; financial markets;
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