On the resilience of US ESG stocks: Evidences from the COVID-19 market crashes

This paper investigates the interactive impacts between ESG participations and sector effects on U.S. stock price during the COVID19 market crisis. We document that less information asymmetry across ESG scores generally leads to higher pricing premiums during pandemic market crashes. We find that the impacts from ESG scores change overtime and are industrial dependent. Our findings add to the ongoing discussion of the resiliency of ESG stocks during the financial crisis, and provide insight into how market participants have acknowledged ESG participations.