Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/287975 
Year of Publication: 
2022
Citation: 
[Journal:] Corporate Social Responsibility and Environmental Management [ISSN:] 1535-3966 [Volume:] 30 [Issue:] 3 [Publisher:] John Wiley & Sons, Inc. [Place:] Chichester, UK [Year:] 2022 [Pages:] 1406-1420
Publisher: 
John Wiley & Sons, Inc., Chichester, UK
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.
Subjects: 
CoVaR
ESG
sustainability
financial stability
systemic risks
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Published Version

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