Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash

By Rui A. Albuquerque, Yrjö Koskinen, Shuai Yang, Chendi Zhang. The Review of Corporate Finance Studies, 2020

953 citations recorded by the source corpus.

Abstract The COVID-19 pandemic and the subsequent lockdown brought about an exogenous and unparalleled stock market crash. The crisis thus provides a unique opportunity to test theories of environmental and social (ES) policies. This paper shows that stocks with higher ES ratings have significantly higher returns, lower return volatility, and higher operating profit margins during the first quarter of 2020. ES firms with higher advertising expenditures experience higher stock returns, and stocks held by more ES-oriented investors experience less return volatility during the crash. This paper highlights the importance of customer and investor loyalty to the resiliency of ES stocks.

Subfields: Economics and Econometrics, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/6e017444fbdad0f2c102f80391495940e839d715

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

In Strategy and Management

Citations in the corpus

Rewriting History II: The (Un)Predictable Past of ESG Ratings (2020, methodology): “We thereby build on Albuquerque et al. (2020), who show that firms with higher E&S ratings prior to the crisis exhibited better stock market performance during the pandemic. Our objective of this exercise is not to replicate Albuquerque et al. (2020). Instead, we aim to show that the relationship be”
Corporate Social Responsibility and Organizational Resilience to COVID-19 Crisis: An Empirical Study of Chinese Firms (2020, background): “[79] focus on environmental (E) and social (S) aspects to investigate the extent to which a firm’s ES performance could help to decrease the volatility of stock returns during the crash.”
ESG Ratings and Stock Performance during the COVID-19 Crisis (2021, methodology): “We also employ several control variables which have also been used in the existing literature [9,10,12,16] and provide definitions of these variables in Table A1 in the Appendix A.”
Does responsible investing pay during economic downturns: Evidence from the COVID-19 pandemic (2020, neutral): “Hence, sustainability creates brand equity and brand loyalty for responsible businesses (see, e.g., Heal 2005; Flammer 2015; Albuquerque et al. 2019; Albuquerque et al. 2020).”
Investor rewards to environmental responsibility: Evidence from the COVID-19 crisis (2021, neutral): “, Albuquerque et al., 2020; Bae et al., 2021; Demers et al., 2020; Ding et al., 2020; Lins et al., 2017). Concurrent studies focusing on the COVID-19 shock provide mixed evidence. Albuquerque et al. (2020) find that stocks with higher ESG scores have significantly higher returns during the COVID-19 ”
Disaster Resilience and Asset Prices (2020, neutral): “Moreover, Albuquerque et al. (2020) find that firms with high environmental and social (ES) ratings offered comparably higher returns and lower return volatility in the first quarter of 2020.”
Banking sector reactions to COVID-19: The role of bank-specific factors and government policy responses (2021, positive): “The negative impact on banks is expected to be higher compared to previous crises (Aldasoro et al., 2020) because banks are, by nature, very vulnerable during crisis periods (Goodell, 2020). Motivated by such vulnerability, this paper examines how different bank-specific factors (such as balance she”
Investor Rewards to Climate Responsibility: Stock-Price Responses to the Opposite Shocks of the 2016 and 2020 U.S. Elections (2021, neutral): “Albuquerque et al. (2020) suggest that this outperformance is due to greater trust that these firms command in crisis times.”
Reconsidering systematic factors during the Covid-19 pandemic – The rising importance of ESG (2020, background): “, 2018; Albuquerque et al., 2020). The closest study to ours is Callahan (2019) who also shows that, overall, ESG stock selection contributes positively to performance, but this effect changes across industries.”
Mutual Fund Performance and Flows during the COVID-19 Crisis (2020, positive): “Such a shift in tastes appears to have started before the COVID-19 crisis and, judging by our evidence as well as that of Albuquerque et al. (2020) and Ding et al.”
Does CSR matter in times of crisis? Evidence from the COVID-19 pandemic (2021, neutral): “Our results differ from those of Albuquerque et al. (2020). They show that firms with higher CSR (2018 from Refinitiv) display better stock return performance during the crash period. A few factors contribute to this inconsistency. First, as for the CSR measures, the authors mainly use 2018 Refiniti”