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

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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。

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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.

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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