Do ESG Factors Prove Significant Predictors of Systematic and Downside Risks in the Russian Market after Controlling for Stock Liquidity?

Tamara Teplova (), Tatiana Sokolova and Sergei Gurov
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Tamara Teplova: Centre for Financial Research & Data Analytics, HSE University, 109028 Moscow, Russia
Tatiana Sokolova: Centre for Financial Research & Data Analytics, HSE University, 109028 Moscow, Russia
Sergei Gurov: Centre for Financial Research & Data Analytics, HSE University, 109028 Moscow, Russia

JRFM, 2024, vol. 17, issue 4, 1-18

Abstract: This paper reveals the impact of environmental, social, and governance (ESG) scores on systematic and downside risks in the Russian stock market. We analyze the influence of a broad set of ESG factors controlling for stock liquidity, financial indicators of companies, and macroeconomic indicators. The period under consideration is from 2013 to 2021. The methodology of our research is based on regression analysis with multiplicative variables to reveal the changes induced by the COVID-19 pandemic. We obtain several novel results. Social responsibility is one of the most significant non-fundamental factors influencing both systematic and downside risks. The most important environment-related component is the measure of a company’s propensity to environmental innovations. Some dimensions of stock liquidity are also significant. For some factors, such as the COVID-19 pandemic and debt burden, we find an unexpected direction of influence on liquidity.

Keywords: ESG; downside risk; systematic risk; panel data; COVID-19 (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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