Does ESG investing pay-off? An analysis of the Eurozone area before and during the Covid-19 pandemic

IF 2.8 3区 经济学 Q2 BUSINESS, FINANCE International Journal of Finance & Economics Pub Date : 2023-07-28 DOI:10.1002/ijfe.2865
Dimitrios Asteriou, Keith Pilbeam, William Pouliot
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Abstract

We examine whether the stock return performance of 620 Eurozone companies based on their environmental, social and governance (ESG) ratings both before and during the Covid-19 pandemic on both a nominal and risk adjusted basis. We also look at how country level governance indicators interact with our samples of ESGHigh and ESGLow companies to affect both nominal and risk adjusted investment returns. We use both panel data and cross-sectional regressions as well as the difference-in-differences approach to derive the empirical results. We generally find some evidence that highly rated ESG firms performed slightly worse than lower rated ESG both overall and during the pandemic. However, once we control for governance at the country level, we find that in high governance scoring countries ESGHigh companies perform better than ESGLow companies. Finally, when we examine the relative performance of EU companies compared to companies in economies less impacted by the Covid-19 pandemic, namely South Korea and Australia, we find that during the pandemic, the South Korean and Australian companies performed much better than their counterparts in Europe.

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环境、社会和治理投资是否有回报?对 Covid-19 大流行之前和期间欧元区的分析
我们根据 620 家欧元区公司的环境、社会和治理 (ESG) 评级,研究了这些公司在科威德-19 大流行之前和期间的股票回报表现,包括名义回报和风险调整回报。我们还研究了国家层面的治理指标如何与 ESGH 高和 ESGL 低的公司样本相互作用,从而影响名义和风险调整后的投资回报。我们使用面板数据和横截面回归以及差分法得出实证结果。我们普遍发现一些证据表明,ESG评级高的公司在整体上和大流行期间的表现都略逊于ESG评级低的公司。然而,一旦我们对国家层面的治理进行控制,我们发现在治理评分高的国家,ESGH 高的公司比 ESGL 低的公司表现更好。最后,当我们研究欧盟公司与受 Covid-19 大流行病影响较小的经济体(即韩国和澳大利亚)公司的相对表现时,我们发现在大流行病期间,韩国和澳大利亚公司的表现要比欧洲公司好得多。
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CiteScore
5.70
自引率
6.90%
发文量
143
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