Environmental, social and governance (“ESG”) scores have been widely touted as indicators of share price resilience during the COVID‐19 crisis. Contrary to this conventional wisdom, we present robust evidence that once industry affiliation, market‐based measures of risk and accounting‐based measures of performance, financial position and intangibles investments have been controlled for, ESG offers no such positive explanatory power for returns during the COVID crisis. Specifically, ESG is insignificant in fully specified returns regressions for each of the Q1 2020 COVID market crisis period and for the full COVID year of 2020. By contrast, a measure of the firm's stock of investments in internally generated intangible assets is an economically and statistically significant positive determinant of returns during each of the Q1 market implosion and full 2020 COVID year periods. Our results are robust to alternative measures of returns, as well as for using Refinitiv, Refinitiv II and MSCI data to capture ESG performance. We conclude that ESG did not immunize stocks during the COVID‐19 crisis, but those investments in intangible assets did.

中文翻译：

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在 COVID-19 危机期间，ESG 并未使股票免疫，但无形资产投资却免疫了


环境、社会和治理（“ESG”）评分被广泛吹捧为 COVID-19 危机期间股价弹性的指标。与这种传统观点相反，我们提供了强有力的证据表明，一旦行业隶属关系、基于市场的风险衡量标准和基于会计的业绩衡量标准、财务状况和无形资产投资得到控制，ESG 就不会为报告期内的回报提供如此积极的解释力。新冠危机。具体而言，在 2020 年第一季度 COVID 市场危机期间和 2020 年整个 COVID 年中，ESG 在完全指定的回报回归中并不显着。相比之下，衡量公司内部产生的无形资产投资存量的指标是经济和统计上的一个指标。在第一季度市场内爆和 2020 年整个 2020 年新冠疫情期间，回报率都是显着的积极决定因素。我们的结果对于其他回报衡量标准以及使用 Refinitiv、Refinitiv II 和 MSCI 数据捕捉 ESG 绩效而言都是稳健的。我们的结论是，ESG 并未在 COVID-19 危机期间使股票免疫，但对无形资产的投资却免疫了股票。