ABSTRACT We examine the role of environmental, social, and governance (ESG) performance on the crash risk of US travel and leisure (T&L) firms around the COVID‐19 pandemic. We find that T&L firms with low ESG scores are more exposed to stock price crash risk than US non‐T&L firms. Analysing the ESG score at the component level indicates that low environmental but high social performance increases the crash risk of T&L firms. Therefore, each ESG component should be examined separately, as the aggregate ESG score may obscure its true effect on stock price crash risk when environmental and social performance compete for resources and risk management attention.
Shahzad et al. (Sun,) studied this question.