Impact of ESG investments on stocks performance during Covid-19 crisis

Abstract

In this study, we examine the impact of investing in ESG on the performance of stocks in Belgium, while considering the period of Covid19 as a perfect setting to test the resilience of these stocks.Through our study, we have considered 3 time lapses: “Before covid” from January 2019 to December 2019, it is the period we used to estimate our theoretical excess returns using Capital Asset Pricing Model, “Covid announcement” from end of February 2020 to end of March 2020; as a period to examine the reaction of Green portfolio and Brown portfolio to the announcement, and “After covid announcement” from end of March until end of June, 2020 to capture the evolution of the effect on performance. Based on the sample studied, and the results obtained, we could confirm that investing in ESG had a positive impact on performance in the way that the losses were less important than for the Non ESG for the period of announcement, however on the long term, the green portfolio demonstrated negative cumulative return for both the model built with CAPM and for the robustness model built with Fama & French 3 Factor Model.