Love in the Time of COVID-19: The Resiliency of Environmental and Social Stocks

Rui Albuquerque, Yrjö Koskinen (), Shuai Yang and Chendi Zhang

No 14661, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: The COVID-19 pandemic and the subsequent lockdown brought about a massive slowdown of the economy and an unparalleled stock market crash. Using U.S. data, this paper explores how firms with high Environmental and Social (ES) ratings fare during the first quarter of 2020 compared to other firms. We show that stocks with high ES ratings have significantly higher returns, lower return volatilities, and higher trading volumes than other stocks. Firms with high ES ratings and high advertising expenditures perform especially well during the crash. This paper highlights the importance of ES policies in making firms more resilient during a time of crisis.

Keywords: ESG; Covid-19; Market crash; Stock returns; Volatility; Trading volume; Customer loyalty (search for similar items in EconPapers)
JEL-codes: G12 G32 M14 (search for similar items in EconPapers)
Date: 2020-04
New Economics Papers: this item is included in nep-cfn and nep-env
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

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