On the resilience of ESG firms during the COVID-19 crisis: evidence across countries and asset classes

• 成果类型: Article
• 署名作者: Gianfrate, Gianfranco; Rubin, Mirco; Ruzzi, Dario; van Dijk, Mathijs
• 署名单位: Universite Catholique de Lille; EDHEC Business School; European Central Bank; Bank of Italy; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: JOURNAL OF INTERNATIONAL BUSINESS STUDIES
• ISSN/ISSBN: 0047-2506
• DOI: 10.1057/s41267-024-00718-2
• 发表日期: 2024
• 页码: 1069-1084
• 关键词: esg; geography; Covid-19; Equity valuation; Market crash; Credit default swap; Corporate bonds; sustainability

摘要

We use the exogenous shock of COVID-19 to explore the resilience of firms with strong ESG (environmental, social, and governance) ratings across 63 countries and three asset classes: stocks, credit default swaps (CDS), and corporate bonds. We show that the resilience of strong ESG firms is not a consistent global phenomenon outside of North America and varies considerably across countries. Additional evidence points towards a substitution effect between firm-level sustainability performance as captured by ESG ratings and country-level sustainability performance especially in terms of healthcare coverage. Overall, our findings indicate that the capacity of strong ESG firms to serve as rainy day assets is geography-dependent and that ESG considerations can also affect international corporate debt markets.