Environmental, social and governance performance and stock price volatility: A moderating role of firm size

This study examines the role of environmental, social and governance (ESG) performance on stock price volatility of textile and apparel firms. This study further examines whether firm size moderates the relationship between ESG and stock price volatility. We consider a global sample of 44 textile and apparel firms available in Refinitiv between 2010 and 2018 and apply the fixed-effects panel regression model to reduce unobserved endogeneity bias. We find a significant adverse influence of ESG on stock price volatility. However, firm size portrays a non-significant moderating effect on ESG-stock price volatility nexus. This study contributes to the research domain of ESG and risk by presenting the significant influence of ESG on stock price volatility in the textile and apparel industry. This study will be a reference point for textile and apparel firms' managers to consider ESG issues seriously as the attention on ESG causes a reduction to stock price volatility. Portfolio managers may invest in high achieving ESG firms to leverage the market volatility of their portfolio.