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Finance research letters
Jan, 2021;38 101870.

Reconsidering systematic factors during the Covid-19 pandemic - The rising importance of ESG.

Violeta Díaz, Denada Ibrushi, Jialin Zhao
Author Information
  1. Violeta Díaz: St. Mary's University, 1 Camino Santa Maria, San Antonio, TX 78228.
  2. Denada Ibrushi: St. Mary's University, 1 Camino Santa Maria, San Antonio, TX 78228.
  3. Jialin Zhao: St. Mary's University, 1 Camino Santa Maria, San Antonio, TX 78228.
PMID: 36569646 DOI: 10.1016/j.frl.2020.101870

Abstract

We investigate the importance of Environmental, Social and Governance (ESG) ratings in explaining different industry returns during the Covid-19 window. We build our ESG factor as the spread in returns between firms in the top ESG quartile and those in the bottom ESG quartile. The ESG factor shows to significantly explain industry returns in addition to the Fama-French factors. We also analyze the individual , and components of ESG. and dimensions are the main drivers of the ESG impact on different industries.

Keywords

Covid-19 ESG Factor ESG Ratings ESG investing

References

  1. Financ Res Lett. 2020 Jul;35:101512 [PMID: 32562472]
  2. Financ Res Lett. 2020 Oct;36:101528 [PMID: 32837360]
Journal Article
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