On the resilience of ESG firms during the COVID-19 crisis: evidence across countries and asset classes

Gianfranco Gianfrate (), Mirco Rubin (), Dario Ruzzi () and Mathijs Dijk ()
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Gianfranco Gianfrate: EDHEC Business School
Mirco Rubin: EDHEC Business School
Dario Ruzzi: Bank of Italy
Mathijs Dijk: Erasmus University

Journal of International Business Studies, 2024, vol. 55, issue 8, No 9, 1069-1084

Abstract: Abstract We use the exogenous shock of COVID-19 to explore the resilience of firms with strong ESG (environmental, social, and governance) ratings across 63 countries and three asset classes: stocks, credit default swaps (CDS), and corporate bonds. We show that the resilience of strong ESG firms is not a consistent global phenomenon outside of North America and varies considerably across countries. Additional evidence points towards a substitution effect between firm-level sustainability performance as captured by ESG ratings and country-level sustainability performance especially in terms of healthcare coverage. Overall, our findings indicate that the capacity of strong ESG firms to serve as “rainy day assets” is geography-dependent and that ESG considerations can also affect international corporate debt markets.

Keywords: ESG; Geography; COVID-19; Equity valuation; Market crash; Credit default swap; Corporate bonds; Sustainability (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1057/s41267-024-00718-2

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