ESG能提高危机复原力吗?新冠肺炎危机期间全球新兴市场股票市场的经验证据

Q2 Social Sciences

Periodica Polytechnica, Social and Management Sciences Pub Date : 2023-02-03 DOI:10.3311/ppso.19147

H. Naffa, Fanni Dudás

{"title":"ESG能提高危机复原力吗?新冠肺炎危机期间全球新兴市场股票市场的经验证据","authors":"H. Naffa, Fanni Dudás","doi":"10.3311/ppso.19147","DOIUrl":null,"url":null,"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.","PeriodicalId":35958,"journal":{"name":"Periodica Polytechnica, Social and Management Sciences","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2023-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Does ESG Improve Crisis Resilience? Empirical Evidence of Global Emerging Equity Markets during the Covid-19 Crisis\",\"authors\":\"H. Naffa, Fanni Dudás\",\"doi\":\"10.3311/ppso.19147\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":35958,\"journal\":{\"name\":\"Periodica Polytechnica, Social and Management Sciences\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-02-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Periodica Polytechnica, Social and Management Sciences\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3311/ppso.19147\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"Social Sciences\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Periodica Polytechnica, Social and Management Sciences","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3311/ppso.19147","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"Social Sciences","Score":null,"Total":0}

引用次数: 0

摘要

我们研究了环境、社会和治理(ESG)因素在解释1031只全球新兴市场(GEM)股票在2020年第一季度新冠肺炎危机低迷期间的危机抵御能力方面的作用。我们使用线性和分位数回归(QR)，发现公司的ESG管理得分与危机复原力之间存在统计学上显著的负相关关系，这是由股票最大回撤所代表的。我们的研究结果表明，ESG管理较好的公司具有较低的危机抵御能力，这一发现与文献中基于代理理论的解释一致。结果在所有OLS和QR模型中都是稳健的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

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

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Periodica Polytechnica, Social and Management Sciences Social Sciences-Social Sciences (all)

CiteScore

1.50

自引率

0.00%

发文量