A0899
Title: The impact of sustainability on financial risk: A firm level analysis
Authors: Almudena Maria Garcia Sanz - Complutense University of Madrid (Spain) [presenting]
Abstract: Existing research on the effect of sustainability on different measures of financial risk is complemented and extended. Panel data of listed US and European firms for a period between 2000 and 2021, and the Thomson Reuters ESG scores have been used to directly assess such an impact avoiding the existing problems in the literature about the lack of standardized measures. Results show that sustainable activities carried out through the corporate social responsibility (CSR) policies of firms play a relevant role in mitigating total, idiosyncratic and systematic risk, as well as in mitigating the lack of synchronicity with the market while helping to increase the distance to default, even after controlling for characteristics such as size or profitability. Complementary analyses were carried out to know more about the differences between subsamples (European and American), and the effect of the covid pandemic.
