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

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 t...

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Detalles Bibliográficos
Autores principales: Díaz, Violeta, Ibrushi, Denada, Zhao, Jialin
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9761191/
https://www.ncbi.nlm.nih.gov/pubmed/36569646
http://dx.doi.org/10.1016/j.frl.2020.101870
Descripción
Sumario: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 Environmental, Social, and Governance components of ESG. Environmental and Social dimensions are the main drivers of the ESG impact on different industries.

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