원문정보
초록
영어
This paper examines how Corporate Social Responsibility (CSR) is associated with stock performance of Korean firms during the COVID-19 pandemic. Using firms’ ESG (Environmental, Social, and Governance) ratings to measure their CSR, we find that the stock returns of firms with higher CSR decline less during the pandemic crisis period and rebound less during the recovery period than those with lower CSR. We also show that firms’ higher ESG ratings are associated with lower stock return volatilities during the crisis and recovery periods. While the governance rating plays a major role in the CSR effects on the stock performance during the COVID-19 pandemic, our further analyses on several earlier corporate scandals find that which of ESG ratings matters for the effects of CSR on a firm’s stock performance varies according to the nature of shocks. Our results suggest that CSR mitigates a firm’s nonfinancial risk and the stock market factors into firms’ ESG investments in responding to nonfinancial shocks on them.
목차
1. Introduction
2. Background
2.1 COVID-19 period
2.2 The role of CSR
3. Sample and summary statistics
3.1 Sample
3.2 Measurement
3.3 Control Variables
3.4 Summary statistics
4. Empirical Results
4.1 Univariate analysis
4.2 Stock returns and CSR
4.3 Volatility and CSR
4.4 Comparison Between ES effects and G effects
4.5 Alternative periods
4.6 Pre-COVID-19 period
4.7 Additional evidence from scandals
5. Conclusion
References