TY  - UNPD
A1  - Eisenkopf, Jana
A1  - Juranek, Steffen
A1  - Walz, Uwe
T1  - Responsible investment and stock market shocks: short-term insurance and persistent outperformance post-crisis?
T2  - SAFE working paper ; No. 329
N2  - We investigate the differential effect of the COVID-19 shock to the stock market shock on the share prices of firms with different levels of ESG (Environmental, Social and Governance) scores. Thereby, we analyse whether and to what extent better ESG ratings provided insurance for investors in the stocks of those firms during this shock. We focus our analysis on the European market in which ESG investment plays a particularly important role. Using a broad sample of listed firms we provide mixed evidence. On the one hand, we show that immediately after the start of the shock firms with a higher ESG score outperformed their peers. On the other hand, this effect faded less than six weeks later. Given the quick recovery of the market our finding supports the idea that ESG stocks provide limited insurance in severe crises.
T3  - SAFE working paper - 329 
KW  - Responsible investment
KW  - stock market crisis
KW  - persistence
KW  - ESG
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/61994
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-619948
UR  - https://ssrn.com/abstract=3979761
IS  - This version: December 7, 2021
PB  - SAFE
CY  - Frankfurt am Main
ER  -