Reconsidering systematic factors during the Covid-19 pandemic - The rising importance of ESG

被引：97
|
作者：
Diaz, Violeta [1 ]
Ibrushi, Denada [1 ]
Zhao, Jialin [1 ]
机构：
[1] St Marys Univ, 1 Camino Santa Maria, San Antonio, TX 78228 USA
来源：
FINANCE RESEARCH LETTERS | 2021年 / 38卷
关键词：
ESG Ratings; ESG Factor; Covid-19; ESG investing;
D O I：
10.1016/j.frl.2020.101870
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the importance of Environmental, Social and Governance (ESG) ratings in explaining different industry returns during the Covid-19 window. We build our ESG factor as the spread in returns between firms in the top ESG quartile and those in the bottom ESG quartile. The ESG factor shows to significantly explain industry returns in addition to the Fama-French factors. We also analyze the individual Environmental, Social, and Governance components of ESG. Environmental and Social dimensions are the main drivers of the ESG impact on different industries.
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页数：6
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