ESG Performance and Stock Price Volatility in Public Health Crisis: Evidence from COVID-19 Pandemic

Zhou, Demin; Zhou, Rui

doi:10.3390/ijerph19010202

Cited by 49 publications

(29 citation statements)

References 35 publications

(58 reference statements)

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“…Our results concur with a number of recent studies which indicate green stocks faring better during the pandemic induced market crisis [See, for example, Albuquerque et al. (2020), Zhou and Zhou (2022), Kanamura (2021), Atz et al. (2023), Yu (2022)].…”

Section: Resultssupporting

confidence: 92%

Sin versus green investment: A retrospective study on investor choice during pre- and through COVID regime

Bhatnagar

Bhullar

2023

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PurposeIncreasing focus on socially responsible investments (SRIs) and green projects in recent times, coupled with the arrival of COVID pandemic, are the main drivers of this study. The authors conduct a post-factum analysis of investor choice between sin and green investments before and through the COVID outbreak.Design/methodology/approachA passive investor is introduced who seeks maximum risk-adjusted return and/or investment variance. When presented an opportunity to add sin and/or green investments to her initial one-asset market-only investment position, she views and handles this issue as a portfolio problem (MPT). She estimates value-at-risk (VaR) and conditional-value-at-risk (CVaR) for portfolios to account for downside risk.FindingsGreen investments offer better overall risk-return optimization in spite of major inter-period differences in return-risk dynamics and substantial downside risk. Portfolios optimized for minimum variance perform just as well as the ones optimized for minimum downside risk. Return and risk have settled at higher levels since the onset of COVID, resulting in shifting the efficient frontier towards north-east in the return-risk space.Originality/valueThe study contributes to the literature in two ways: One, it examines investor choice between sin and green investments during a global health emergency and views this choice against the one made during normal times. Two, instead of using the principles of modern portfolio theory (MPT) explicitly for diversification, the study uses them to identify investor preference for one over the other investment type. This has not been widely done thus far.

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Section: Resultssupporting

confidence: 92%

Sin versus green investment: A retrospective study on investor choice during pre- and through COVID regime

Bhatnagar

Bhullar

2023

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“…Consistently, they find that ESG investing is useful in enhancing the firm reputation. Zhou and Zhou (2021) also report that ESG reduced the increase in stock price volatility in China due to Covid-19 shock. They also report that firms with higher ESG ratings have lower volatilities, which indicate that ESG can act as a cushion in times of crisis, and help firms to recover faster from any shocks and stabilize stock prices.…”

Section: The Role Of Esg During the Covid-19 Pandemicmentioning

confidence: 97%

Corporate immunity during crises and pandemics: does ESG matter? Literature review and future prospects

Mounir

Ali

2022

MSAR

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PurposeThis research aims at synthesizing the existing body of literature on the role of environmental, social and governance (ESG) during the Covid-19 global pandemic, identifying the research agenda and perspectives on the role of ESG during times of economic turbulences and pointing to gaps and future research directions in this area.Design/methodology/approachA literature review of academic articles that focus on the role of ESG investments during the Covid-19 pandemic is conducted. These studies are identified based on searching/containing the keywords “ESG”, “Corporate Social Responsibility (CSR)”, “Sustainability” and “Sustainable Finance” in combination with one or more of the following terms: “Covid-19”, “Pandemic” “and Crisis”. Then, the authors explore the key directions/themes in these papers, and highlight the main gaps and areas that are evolving as future research opportunities.FindingsThe empirical findings provide overall compelling evidence in support of the role of ESG during times of crisis, especially when it comes to stock risk and volatility. For example, several studies report that ESG stocks are associated with superior stock performance (higher stock returns and firm value) during the pandemic, while other studies report that ESG act as a risk protection tool during times of crisis, as they document that ESG stocks are associated with lower volatility and lower downside risk during the Covid-19 crisis.Originality/valueTo the best of the authors knowledge, no review of the literature on the role that ESG plays during crises and pandemics has been conducted before. Thus, it fulfills this research gap in the literature.

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“…For example, Cojoianu et al (2021) show that companies that attach importance to the environment can reduce their downward risks in a crisis, because oil and gas companies that are not environmentally active, might not be able to get funding. Zhou and Zhou (2021) posit that ESG performance plays a role in managing risks during global health pandemics. Their empirical evidence suggests that the stock price volatility of companies with good ESG performance is lower than that of companies with poor performance.…”

Section: Theory and Hypothesis Developmentmentioning

confidence: 99%

Does environmental investment pay off?—portfolio analyses of the E in ESG during political conflicts and public health crises

Shen,

Chen,

Liu

2023

J of Financial Research

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This paper examines the contribution of environmental investment on firm value during the Russia‐Ukraine War and Global Public Health Crisis. Using media‐based environmental scores, we investigate the performance of the emission‐reduction‐ and green‐innovation‐based portfolios. The results indicate that while engaging in environmental activities decreases firm value during the non‐crisis time, it creates value when companies face market‐wide crises. Our findings suggest that environmental investment serves as a risk‐hedging vehicle for political and health crises. In addition, compared to corporate ESG disclosures, firm‐level media‐based environmental scores mitigate the endogeneity between a company's ESG disclosure policies and its firm characteristics.This article is protected by copyright. All rights reserved.

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ESG Performance and Stock Price Volatility in Public Health Crisis: Evidence from COVID-19 Pandemic

Cited by 49 publications

References 35 publications

Sin versus green investment: A retrospective study on investor choice during pre- and through COVID regime

Sin versus green investment: A retrospective study on investor choice during pre- and through COVID regime

Corporate immunity during crises and pandemics: does ESG matter? Literature review and future prospects

Does environmental investment pay off?—portfolio analyses of the E in ESG during political conflicts and public health crises

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