We examine the role of Environmental, Social, and Governance (ESG) factors in explaining
the crisis resilience of 1031 global emerging market (GEM) equities during the Covid-19
crisis downturn of Q1 2020. We use linear and quantile regressions (QR) and find a
statistically significant negative relationship between a firm's ESG management score
and crisis resilience as proxied by stock maximal drawdown. Our results suggest that
companies with better ESG management were less crisis resilient, a finding consistent
with agency-theory-based explanations found in the literature. Results are robust
across all OLS and QR models.
