ESG scores and the response of the S&amp;P 1500 to monetary and fiscal policy during the Covid-19 pandemic

Gregory, Richard Paul

doi:10.1016/j.iref.2021.12.013

Cited by 43 publications

(29 citation statements)

References 26 publications

(22 reference statements)

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“…Table 9 also suggests that while the social factor in the ESG ratings is positively linked to systemic risk contribution and exposure, the governance/economic factor is negatively related. The latter is in line with the findings of Gregory (2022) that during the pandemic, non-financial firms with higher governance scores performed better. The coefficients are not very large, but for a 40-point improvement in these factors, the effect is 3.25% and −3.35%, respectively.…”

Section: Ols Regressions For 2020supporting

confidence: 90%

“…However, if firms have larger financial constraints, they may tend to hide unfavourable news and hence this effect is suppressed. Gregory (2022) analyses the S&P 1500 stocks and shows that the non-financial firms which had better environment and governance scores performed better throughout the COVID-19 pandemic. Sonnenberger and Weiss (2021) focus on the insurance firms and find that engaging in corporate social responsibility reduces tail risk and short and medium term exposure to systemic risk.…”

Section: Sustainability and Systemic Riskmentioning

confidence: 99%

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The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms

Eratalay

Ángel

2022

JRFM

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There are diverging results in the literature on whether engaging in ESG related activities increases or decreases the financial and systemic risks of firms. In this study, we explore whether maintaining higher ESG ratings reduces the systemic risks of firms in a stock market context. For this purpose we analyse the systemic risk indicators of the constituent stocks of S&P Europe 350 for the period of January 2016–September 2020, which also partly covers the COVID-19 period. We apply a VAR-MGARCH model to extract the volatilities and correlations of the return shocks of these stocks. Then, we obtain the systemic risk indicators by applying a principle components approach to the estimated volatilities and correlations. Our focus is on the impact of ESG ratings on systemic risk indicators, while we consider network centralities, volatilities and financial performance ratios as control variables. We use fixed effects and OLS methods for our regressions. Our results indicate that (1) the volatility of a stock’s returns and its centrality measures in the stock network are the main sources contributing to the systemic risk measure, (2) firms with higher ESG ratings face up to 7.3% less systemic risk contribution and exposure compared to firms with lower ESG ratings and (3) COVID-19 augmented the partial effects of volatility, centrality measures and some financial performance ratios. When considering only the COVID-19 period, we find that social and governance factors have statistically significant impacts on systemic risk.

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Section: Ols Regressions For 2020supporting

confidence: 90%

Section: Sustainability and Systemic Riskmentioning

confidence: 99%

The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms

Eratalay

Ángel

2022

JRFM

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“…Firm Size is measured by the natural logarithm of total assets (Lin et al, 2019). Leverage using debt to equity ratio (Gregory, 2022).…”

Section: Methodsmentioning

confidence: 99%

The Role of Female and Millennial Directors on the Environmental Performance of Indonesian SOEs

Wardhani

Purwinanti

Priandi

2022

Jurnal Ilmiah Akuntansi dan Bisnis

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The Indonesian Ministry of SOEs seeks to increase the proportion of female and millennial directors on the SOE board of directors to improve the environmental performance of SOE. This study aims to obtain empirical evidence of female and millennial directors' influence on the environmental performance of SOE. The results indicate that female directors have a negative effect on environmental performance. The proportion of female directors is only a political reason to meet the quota requirements for women directors on the SOE board of directors. They only practice tokenism without having management power over the environment. Conversely, millennial directors have a positive impact on environmental performance. Robustness testing shows the same results as the primary research model and proves that this study's findings are robust. This research has implications for The Ministry of SOEs to increase millennial directors' representation to improve SOE corporate governance and obtain high environmental performance. Keywords: female directors, millennial directors, environmental performance

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“…, 2021; El Khoury et al. , 2021; Gregory, 2022). Second, since it is suggested that ESG may mitigate the negative impact of the COVID-19 pandemic on bank profitability (i.e., ROA) differently across subsamples [9], we, therefore, divide our sample into developed markets and emerging markets.…”

Section: Empirical Findingsmentioning

confidence: 99%

The environment, social and governance (ESG) activities and profitability under COVID-19: evidence from the global banking sector

Yuen

Ngo

et al. 2022

JED

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PurposeThis study investigated the impacts of the environment, social and governance (ESG) and its components on global bank profitability considering the COVID-19 outbreak.Design/methodology/approachThis study used a system generalized method of moments (GMM) proposed by Arellano and Bover (1995) to investigate the relationship between ESG and bank profitability using an unbalanced sample of 487 banks from 51 countries from 2006 to 2021.FindingsThe findings generally found that ESG activities may reduce bank profitability, thus supporting the trade-off hypothesis that adopting ESG standards could increase bank costs while lowering profitability. In addition, there is a U-shaped relationship between ESG and bank profitability, suggesting that ESG activities can help improve bank performance in the long term. Such effect is the first time observed in the global banking sector. This study’s results are robust across different models and settings (e.g. developed vs developing countries, different levels of profitability, and samples with vs without US banks).Practical implicationsThis study provides empirical evidence to support the sustainable development policy which is implemented by many countries. It also provides empirical incentives for bank managers to be more ESG-oriented in their activities.Originality/valueThis study provides a better understanding of the roles of ESG activity and its components in the global banking system, considering the recent crises.

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ESG scores and the response of the S&P 1500 to monetary and fiscal policy during the Covid-19 pandemic

Cited by 43 publications

References 26 publications

The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms

The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms

The Role of Female and Millennial Directors on the Environmental Performance of Indonesian SOEs

The environment, social and governance (ESG) activities and profitability under COVID-19: evidence from the global banking sector

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