Did Environmental, Social, and Governance (ESG) Practices Affect Abnormal Returns During the COVID-19 Pandemic? Evidence From Brazil

This study examines the effect of environmental, social, and governance (ESG) practices on Brazilian stock returns during the COVID-19 pandemic. Brazil provides interesting insights because it has a crucial role in the ESG agenda worldwide and was the second most severely affected country in terms of number of deaths due to COVID-19. We provide evidence that Brazilian companies with good ESG practices had higher returns during the COVID-19 crisis. This superior performance is associated with ESG broadly, but not with governance separately. Our findings are robust to several industry and firm characteristics and support the hypothesis that ESG companies are more resistant during crises.