Articlehybrid2024

ESG Performance and Systemic Risk Nexus: Role of Firm-Specific Factors in Indian Companies

Mithilesh Kishor Gidage · Shilpa Vasant Bhide · Rajesh N. Pahurkar · Ashutosh Kolte

31 citations0/0 files storedJournal of risk and financial management

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Corporate Social Responsibility Reporting Financial Markets and Investment Strategies Sustainable Finance and Green Bonds

Abstract

This study investigates the ESG performance–systemic risk (SR) nexus among Indian companies. Using the beta coefficient from the Capital Asset Pricing Model (CAPM) and statistical analysis, it explores how ESG performance affects SR. The findings reveal that firms with higher ESG scores have lower SR sensitivity. Notably, there is a significant difference in risk sensitivity between high- and low-ESG-rated companies, with ESG effects being less pronounced in high-cap firms compared to low-cap firms. Conversely, large firms, older firms, and those with lower borrowing costs show a diminished effect of ESG ratings on their SR sensitivity. These results underscore the importance of firm-specific characteristics in determining the efficacy of ESG strategies in risk mitigation. This study reveals that ESG performance reduces SR, with market valuation affecting this relationship.

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References

1991Firm Resources and Sustained Competitive Advantage 1973Job Market Signaling 1973Theory of Rational Option Pricing 2015ESG and financial performance: aggregated evidence from more than 2000 empirical studies 2017Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 2016CoVaR 2010Corporate Social Responsibility as a Conflict Between Shareholders

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