Using a large and extended global dataset of non-financial firms (4624 listed entities from 2002 to 2018), we provide the first empirical evidence on how ESG and Sharia screenings interact and influence market risks. We link two contrasting literature streams: the risk reduction role that the stakeholder theory attributes to ESG scores, and the opposite effect for Sharia-compliance anticipated by the portfolio and agency theories.

We find that when ESG scores are not considered, Sharia certification increases risks. We also prove that engagement in sustainable activities mitigates risks for both Sharia-compliant and conventional firms. More interestingly, we show that Sharia-compliant firms obtain a larger risk-mitigating effect for greater levels of ESG scores. These results are robust to endogeneity and to extensive additional checks.

Our findings validate the hypothesized complementarity between ESG and Sharia screenings.

使用非金融公司的大型扩展全球数据集（2002 年至 2018 年的 4624 个上市实体），我们提供了关于 ESG 和伊斯兰教法筛选如何相互作用和影响市场风险的第一个经验证据。我们将两个截然不同的文献流联系起来：利益相关者理论归因于 ESG 分数的风险降低作用，以及投资组合和代理理论预期的伊斯兰教法合规性的相反效果。

我们发现，当不考虑 ESG 分数时，伊斯兰教法认证会增加风险。我们还证明，参与可持续活动可以降低符合伊斯兰教法的公司和传统公司的风险。更有趣的是，我们表明符合伊斯兰教法的公司对更高的 ESG 评分水平获得了更大的风险缓解效果。这些结果对于内生性和广泛的额外检查是稳健的。

我们的研究结果验证了 ESG 和伊斯兰教法筛查之间假设的互补性。