PT  - JOURNAL ARTICLE
AU  - Jonathan Burson
AU  - Casey Banta-Ryan
AU  - Steve Swidler
TI  - Sustainable Company Resilience: Alpha and Beta in Up and Down Markets
AID  - 10.3905/jesg.2022.1.055
DP  - 2022 Nov 30
TA  - The Journal of Impact and ESG Investing
PG  - 94--107
VI  - 3
IP  - 2
4099  - https://pm-research.com/content/3/2/94.short
4100  - https://pm-research.com/content/3/2/94.full
AB  - Previous research suggests that sustainable companies, as measured by ESG metrics, efficiently use their assets, thus leading to lower risks and potentially positive alpha. Our analysis considers whether high-ESG stocks imply superior company performance during times of market stress or volatility. The empirical work examines stocks in the Dow Jones Sustainability North America Composite Index and finds little support for sustainable companies exhibiting lower risk, as measured by beta, or higher alpha during periods when the market declines. Further examination of individual stocks does not support lower tail risk. One explanation for the findings is that markets are efficient and already price ESG ratings. Still another possibility is that ESG ratings from other agencies may better identify measures of risk and company resilience.