Do lower environmental, social, and governance (ESG) rated companies have higher systemic impact? Empirical evidence from Europe and the United States
Corporate Social - Responsibility and Environmental Management
; 30(3):1406-1420, 2023.
Article
in English
| ProQuest Central | ID: covidwho-2312928
ABSTRACT
In recent years, companies have increasingly been characterized by environmental, social, and governance (ESG) scores, and investors and academics have raised questions concerning financial performance and investment risks. Now, as the European Banking Authority has acknowledged that ESG risks can potentially impact the economic and financial system, the debate on systemic risk has gained traction. Understanding the relationship between ESG merit and systemic risk is of utmost importance for the stability of the economic and financial system, still, research is limited. Relying on real‐world European and United Stated data, we quantify systemic risk by means of QL‐CoVaR. Empirical analyses of the entire period from 2007 to 2021 show that companies with high ESG scores tend to exhibit low QL‐CoVaR values indicating a positive effect of ESG scores. Such evidence is confirmed by clustering the individual companies into ESG portfolios and focusing on COVID‐19. Additional insights using the individual pillars are also provided.
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Type of study:
Experimental Studies
Language:
English
Journal:
Corporate Social - Responsibility and Environmental Management
Year:
2023
Document Type:
Article
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