Following the COVID-19 outbreak, orientation toward sustainability is a critical factor in ensuring firm survival and growth. Using a large sample of 1,204 firms in Europe during the year 2020, this study investigates how more sustainable firms fare during the pandemic compared with other firms in terms of risk–return trade-off and stock market liquidity. We also highlight the drivers of the resilience of more sustainable firms to the pandemic. Particularly, we document that higher levels of cash holdings and liquid assets in the pre-COVID period help these firms to perform and absorb the COVID-19 externalities better than other firms. Our results are robust to a host of econometric models, including GMM estimations and several measures of stock market performance. These findings contribute to the theoretical and empirical debate on the role of the sustainability as a source of corporate resilience to unexpected shocks.

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COVID-19、ESG 投资和更具可持续性的股票的弹性：来自欧洲公司的证据

在 COVID-19 爆发之后，以可持续发展为导向是确保企业生存和发展的关键因素。本研究使用 2020 年欧洲 1,204 家公司的大量样本，调查了与其他公司相比，更具可持续性的公司在大流行期间在风险回报权衡和股票市场流动性方面的表现。我们还强调了更具可持续性的公司对大流行的恢复力的驱动因素。特别是，我们记录了在 COVID 之前较高水平的现金持有量和流动资产有助于这些公司比其他公司更好地执行和吸收 COVID-19 的外部性。我们的结果对许多计量经济学模型都是稳健的，包括 GMM 估计和股票市场表现的几种衡量标准。