Does ESG Improve Crisis Resilience? Empirical Evidence of Global Emerging Equity Markets during the Covid-19 Crisis

Abstract

We examine the role of Environmental, Social, and Governance (ESG) factors in explaining the crisis resilience of 1031 global emerging market (GEM) equities during the Covid-19 crisis downturn of Q1 2020. We use linear and quantile regressions (QR) and find a statistically significant negative relationship between a firm's ESG management score and crisis resilience as proxied by stock maximal drawdown. Our results suggest that companies with better ESG management were less crisis resilient, a finding consistent with agency-theory-based explanations found in the literature. Results are robust across all OLS and QR models.