This chapter examines the impact of ESG scores on bank stock returns as a response to the COVID-19 pandemic. The authors use a sample of 73 publicly listed banks from 15 developed European countries. They perform the analysis using two different periods that cover the pandemic: the first major wave period of COVID-19 (February-April 2020) and an extended period (February 2020-April 2021). The findings reveal the negative influence of the COVID-19 pandemic on bank stock returns during the first wave of the pandemic. They further find that, during the first wave, stock returns of banks with higher ESG scores were more resilient to the pandemic. However, when they use the extended time period (from February 2020-April 2021), the influence of both COVID-19 and ESG scores becomes insignificant. The chapter's findings have important policy implications during unprecedented crisis times such as COVID-19.
Bank Rating Changes and Bank Stock Returns: Puzzling Evidence from the Emerging Markets
