Reconsidering systematic factors during the Covid-19 pandemic – The rising importance of ESG

Violeta Díaz, Denada Ibrushi and Jialin Zhao

Finance Research Letters, 2021, vol. 38, issue C

Abstract: We investigate the importance of Environmental, Social and Governance (ESG) ratings in explaining different industry returns during the Covid-19 window. We build our ESG factor as the spread in returns between firms in the top ESG quartile and those in the bottom ESG quartile. The ESG factor shows to significantly explain industry returns in addition to the Fama-French factors. We also analyze the individual Environmental, Social, and Governance components of ESG. Environmental and Social dimensions are the main drivers of the ESG impact on different industries.

Keywords: ESG Ratings; ESG Factor; Covid-19; ESG investing (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612320316846
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316846

DOI: 10.1016/j.frl.2020.101870

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().