ESG resilience in conflictual times

Measuring the market reaction to a series of announcements related to gas rationing, we find that stock returns of firms with high ESG scores are less affected than their peers. Negative abnormal returns caused by the escalation of the Russia–Ukraine conflict are significantly less pronounced for firms with high scores in the environmental pillar of their ESG evaluation. This effect is mainly driven by the efficient usage of natural resources and low carbon emissions. This evidence is robust to different asset-pricing model specifications. Our findings suggest that higher environmental commitment makes companies more resilient to geopolitical shocks affecting the market price of fossil resources. Interestingly, the evidence in favour of ESG resilience mainly comes from countries more dependent on energy import.