Does ESG Investment Influence Firm Risk During the COVID-19 Pandemic? Evidence from European Markets
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Tarih
2024
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Istanbul Univ, Sch Business
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
In recent decades, corporate social performance (CSP) has gained in importance. Because of concerns raised by consumers, investors, fund providers, and governmental organizations about sustainability, businesses are motivated to work toward a more sustainable environment. This paper examines the nexus between environmental, social, and governance factors (ESG) and various risk types, including market and accounting-based risk, using a data set comprising 1400 firm- year observations spanning the period from 2015 to 2022 from European countries. It examines both aggregated and disaggregated ESG scores and their associations with accounting-based default risk, measured by Altman's Z and Zmijewski's ZM-scores, as well as market risk proxied by beta. To explore the nexus between ESG and risk factors, panel data analysis with both time and unit effects was used and considered with cluster robust standard errors. This study shows that economic cycles have an impact on these relationships, with ESG factors demonstrating a risk-mitigating effect during the COVID-19 pandemic, but no impact before the COVID-19 pandemic. Moreover, this study highlights the comparative informativeness of measuring systematic beta risk compared with traditional accounting-based risk assessments.
Açıklama
Anahtar Kelimeler
Corporate Social Performance, COVID-19, Firm risk, Stakeholder Theory, Agency Theory
Kaynak
Istanbul Business Research
WoS Q Değeri
Scopus Q Değeri
Cilt
53
Sayı
3
