Open AccessDo ESG metrics reflect crisis resilience of equities during the COVID-19 pandemic?
Author(s) -
Fanni Dudás,
Heleffa
Publication year - 2021
Publication title -
economy and finance
Language(s) - English
Resource type - Journals
eISSN - 2677-1322
pISSN - 2415-9379
DOI - 10.33908/ef.2021.4.2
Subject(s) - pandemic , equity (law) , covid-19 , corporate governance , business , financial crisis , economics , popularity , resilience (materials science) , financial economics , finance , political science , macroeconomics , medicine , physics , disease , pathology , infectious disease (medical specialty) , law , thermodynamics
We examine the role of ESG metrics in explaining crisis resilience during the COVID-19 pandemic. ESG refers to Environmental, Social, and Governance aspects of companies, collectively known as ESG factors, and has gained popularity in investments. Our empirical tests cover a database of 971 company members of the MSCI World Index and examine the COVID Crisis period from February 2020 – May 2020. We performed linear regression and Owen-Shapley decomposition in our study, like the literature. Our results show that ESG is not an “equity vaccine” but is a statistically significant and economically important variable in explaining returns during the pandemic. Our findings highlight the increasing importance of sustainability aspects in finance and in investing.