IDEAS home Printed from https://ideas.repec.org/a/gam/jjrfmx/v17y2024i4p172-d1380366.html
   My bibliography  Save this article

Do ESG Factors Prove Significant Predictors of Systematic and Downside Risks in the Russian Market after Controlling for Stock Liquidity?

Author

Listed:
  • Tamara Teplova

    (Centre for Financial Research & Data Analytics, HSE University, 109028 Moscow, Russia)

  • Tatiana Sokolova

    (Centre for Financial Research & Data Analytics, HSE University, 109028 Moscow, Russia)

  • Sergei Gurov

    (Centre for Financial Research & Data Analytics, HSE University, 109028 Moscow, Russia)

Abstract

This paper reveals the impact of environmental, social, and governance (ESG) scores on systematic and downside risks in the Russian stock market. We analyze the influence of a broad set of ESG factors controlling for stock liquidity, financial indicators of companies, and macroeconomic indicators. The period under consideration is from 2013 to 2021. The methodology of our research is based on regression analysis with multiplicative variables to reveal the changes induced by the COVID-19 pandemic. We obtain several novel results. Social responsibility is one of the most significant non-fundamental factors influencing both systematic and downside risks. The most important environment-related component is the measure of a company’s propensity to environmental innovations. Some dimensions of stock liquidity are also significant. For some factors, such as the COVID-19 pandemic and debt burden, we find an unexpected direction of influence on liquidity.

Suggested Citation

  • Tamara Teplova & Tatiana Sokolova & Sergei Gurov, 2024. "Do ESG Factors Prove Significant Predictors of Systematic and Downside Risks in the Russian Market after Controlling for Stock Liquidity?," JRFM, MDPI, vol. 17(4), pages 1-18, April.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:172-:d:1380366
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/1911-8074/17/4/172/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/1911-8074/17/4/172/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. He, Feng & Ding, Cong & Yue, Wei & Liu, Guanchun, 2023. "ESG performance and corporate risk-taking: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 87(C).
    2. Camilleri, Silvio John & Scicluna, Nicolanne & Bai, Ye, 2019. "Do stock markets lead or lag macroeconomic variables? Evidence from select European countries," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 170-186.
    3. Xie, Xuemei & Huo, Jiage & Zou, Hailiang, 2019. "Green process innovation, green product innovation, and corporate financial performance: A content analysis method," Journal of Business Research, Elsevier, vol. 101(C), pages 697-706.
    4. Rui Albuquerque & Yrjö Koskinen & Chendi Zhang, 2019. "Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence," Management Science, INFORMS, vol. 65(10), pages 4451-4469, October.
    5. Aastvedt, Tonje Marthinsen & Behmiri, Niaz Bashiri & Lu, Li, 2021. "Does green innovation damage financial performance of oil and gas companies?," Resources Policy, Elsevier, vol. 73(C).
    6. Andreas G F Hoepner & Ioannis Oikonomou & Zacharias Sautner & Laura T Starks & Xiao Y Zhou, 2024. "ESG shareholder engagement and downside risk," Review of Finance, European Finance Association, vol. 28(2), pages 483-510.
    7. Dao Van Hung & Nguyen Thi Minh Hue & Vu Thuy Duong, 2021. "The Impact of COVID-19 on Stock Market Returns in Vietnam," JRFM, MDPI, vol. 14(9), pages 1-16, September.
    8. Rui Albuquerque & Yrjo Koskinen & Shuai Yang & Chendi Zhang, 2020. "Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 9(3), pages 593-621.
    9. Liu, Hao & Zhang, Hao & Gao, Ya-Chun & Chen, Xu-Dong, 2022. "Firm age and beta: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 244-261.
    10. Qian, Kun & Shi, Bingjie & Song, Yunling & Wu, Hao, 2023. "ESG performance and loan contracting in an emerging market," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mithilesh Gidage & Shilpa Bhide & Rajesh Pahurkar & Ashutosh Kolte, 2024. "ESG Performance and Systemic Risk Nexus: Role of Firm-Specific Factors in Indian Companies," JRFM, MDPI, vol. 17(9), pages 1-28, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Teplova, Tamara & Sokolova, Tatiana & Kissa, David, 2023. "Revealing stock liquidity determinants by means of explainable AI: The role of ESG before and during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 86(PB).
    2. Safiullah, Md & Phan, Dinh Hoang Bach & Nurul Kabir, Md., 2024. "Green innovation and corporate default risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 95(C).
    3. DeLisle, R. Jared & Grant, Andrew & Mao, Ruiqi, 2024. "Does environmental and social performance affect pricing efficiency? Evidence from earnings conference call tones," Journal of Corporate Finance, Elsevier, vol. 86(C).
    4. Ginglinger, Edith & Raskopf, Caroline, 2023. "Women directors and E&S performance: Evidence from board gender quotas," Journal of Corporate Finance, Elsevier, vol. 83(C).
    5. Angelidis, Timotheos & Michairinas, Athanasios & Sakkas, Athanasios, 2024. "World ESG performance and economic activity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
    6. Buchetti, Bruno & Miquel-Flores, Ixart & Perdichizzi, Salvatore & Reghezza, Alessio & Lin, Luca X., 2024. "Loan guarantee and portfolio greening: evidence from European credit registers," Working Paper Series 2916, European Central Bank.
    7. Aastvedt, Tonje Marthinsen & Behmiri, Niaz Bashiri & Lu, Li, 2021. "Does green innovation damage financial performance of oil and gas companies?," Resources Policy, Elsevier, vol. 73(C).
    8. Muck, Matthias & Schmidl, Thomas, 2024. "Comparing ESG score weighting approaches and stock performance differentiation," Finance Research Letters, Elsevier, vol. 67(PB).
    9. Ouyang, Xiaoling & Yang, Yuchuan & Du, Kerui, 2024. "Impact of CSR on stock return resilience during the 2020 public health emergency: Evidence from the Chinese financial market," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    10. Chen, Zhixiong & Sugiyama, Kohei & Tasaka, Kazuyuki & Kito, Tomomi & Yasuda, Yukihiro, 2024. "Impact of environmental, social and governance initiatives on firm value: Analysis using AI-based ESG scores for Japanese listed firms," Research in International Business and Finance, Elsevier, vol. 70(PA).
    11. Khaled Alsaifi & Marwa Elnahass & Abdullah M. Al-Awadhi & Aly Salama, 2022. "Carbon disclosure and firm risk: evidence from the UK corporate responses to climate change," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 505-526, September.
    12. Ding, Wenzhi & Levine, Ross & Lin, Chen & Xie, Wensi, 2021. "Corporate immunity to the COVID-19 pandemic," Journal of Financial Economics, Elsevier, vol. 141(2), pages 802-830.
    13. Fariha Jahan & Jungmu Kim, 2023. "Does the Shield Effect of CSR Work in Crises? Evidence in Korea," Sustainability, MDPI, vol. 15(11), pages 1-18, June.
    14. Sherif. M. Hassan & John M. Riveros Gavilanes, 2021. "First to React Is the Last to Forgive: Evidence from the Stock Market Impact of COVID 19," JRFM, MDPI, vol. 14(1), pages 1-25, January.
    15. Lin, Xiang & Bali Swain, Ranjula, 2024. "Performance of negatively screened sustainable investments during crisis," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1226-1247.
    16. Wang, Zhen & Chu, Erming & Hao, Yukai, 2024. "Towards sustainable development: How does ESG performance promotes corporate green transformation," International Review of Financial Analysis, Elsevier, vol. 91(C).
    17. Chenyu Shan & Dragon Yongjun Tang, 2023. "The Value of Employee Satisfaction in Disastrous Times: Evidence from COVID-19," Review of Finance, European Finance Association, vol. 27(3), pages 1027-1076.
    18. Tingting Hu & Kun You & Char-Lee Lok, 2025. "State ownership, political connection and ESG performance," Risk Management, Palgrave Macmillan, vol. 27(1), pages 1-33, February.
    19. Ferriani, Fabrizio, 2023. "Issuing bonds during the Covid-19 pandemic: Was there an ESG premium?," International Review of Financial Analysis, Elsevier, vol. 88(C).
    20. Hakenes, Hendrik & Schliephake, Eva, 2022. "Responsible Investment and Responsible Consumption," VfS Annual Conference 2022 (Basel): Big Data in Economics 264004, Verein für Socialpolitik / German Economic Association.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:172-:d:1380366. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.