This paper investigates the role of environmental, social, and governance (ESG) performance in stock prices during the market financial crisis caused by the COVID-19 pandemic using Chinese listed company data and an event-study method. Empirical results suggest that ESG performance significantly increases firms' cumulative abnormal returns and has asymmetric effects during the pandemic. The positive relationship between ESG and stock prices is robust to various checks and is explained by reputation and insurance effects, being more pronounced among firms with low human capital, bad image, and in high-impact regions.

Zengfu Li, Liuhua Feng, Zheng Pan, Hafiz M. Sohail