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
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author Díaz, Violeta
Ibrushi, Denada
Zhao, Jialin
author_facet Díaz, Violeta
Ibrushi, Denada
Zhao, Jialin
author_sort Díaz, Violeta
collection PubMed
description 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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spelling pubmed-97611912022-12-19 Reconsidering systematic factors during the Covid-19 pandemic – The rising importance of ESG Díaz, Violeta Ibrushi, Denada Zhao, Jialin Financ Res Lett Article 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. Elsevier Inc. 2021-01 2020-11-28 /pmc/articles/PMC9761191/ /pubmed/36569646 http://dx.doi.org/10.1016/j.frl.2020.101870 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Díaz, Violeta
Ibrushi, Denada
Zhao, Jialin
Reconsidering systematic factors during the Covid-19 pandemic – The rising importance of ESG
title Reconsidering systematic factors during the Covid-19 pandemic – The rising importance of ESG
title_full Reconsidering systematic factors during the Covid-19 pandemic – The rising importance of ESG
title_fullStr Reconsidering systematic factors during the Covid-19 pandemic – The rising importance of ESG
title_full_unstemmed Reconsidering systematic factors during the Covid-19 pandemic – The rising importance of ESG
title_short Reconsidering systematic factors during the Covid-19 pandemic – The rising importance of ESG
title_sort reconsidering systematic factors during the covid-19 pandemic – the rising importance of esg
topic Article
url 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
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