2020/07/01 by Rui Albuquerque, Yrjö Koskinen, Shuai Yang +1 · 3 citations
Business, Management and Accounting · Economics, Econometrics and Finance · #Corporate Social Responsibility Reporting #Energy, Environment, Economic Growth #Sustainable Finance and Green Bonds
paper · pdf · doi:10.1093/rcfs/cfaa011
openalex publication_date 2020/07/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/31
Abstract The COVID-19 pandemic and the subsequent lockdown brought about an exogenous and unparalleled stock market crash. The crisis thus provides a unique opportunity to test theories of environmental and social (ES) policies. This paper shows that stocks with higher ES ratings have significantly higher returns, lower return volatility, and higher operating profit margins during the first quarter of 2020. ES firms with higher advertising expenditures experience higher stock returns, and stocks held by more ES-oriented investors experience less return volatility during the crash. This paper highlights the importance of customer and investor loyalty to the resiliency of ES stocks. (JEL G12, G32, M14) Received: June 3, 2020; editorial decision June 24, 2020 by Editor Andrew Ellul. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.