A1504
Title: Does the gender diversity in the nexus with sustainability affect downside and tail risks
Authors: Almudena Maria Garcia Sanz - Complutense University of Madrid (Spain) [presenting]
Juan-Angel Jimenez-Martin - Complutense of Madrid (Spain)
M Dolores Robles - Universidad Complutense de Madrid (Spain)
Abstract: The role of diversity on boards of directors is examined in the nexus between sustainability (ESG) practices and the downside and tail risks of firms between 2010 and 2022. A set of US and European companies included in the Refinitiv DataStream indexes are analyzed. The sample period spans from 2010 to 2022. A panel regression analysis is applied to explain a comprehensive set of firms' downside and tail risk dimensions (tail beta, downside beta, lower partial moment, value at risk and expected shortfall) as a function of their commitment to sustainability practices as proxied by Thomson Reuters ESG scores and their commitment to gender diversity as a proxy by a set of measures of gender and cultural diversity. Results indicate the relevance of ESG practices and the diversity of the boards in risk management, underscoring the relevance of ESG practices and board diversity in mitigating risks, even after controlling for firm characteristics such as size and profitability and board characteristics as board size and board tenure. The analysis is split to focus separately on each ESG pillar to find the driver or drivers of the risk mitigation in the nexus with each of the diversity measures. US and European companies are also analyzed separately, and significant differences in the impact of ESG practices are observed on each risk dimension to each of the diversity measures. In-depth analysis is undertaken to focus on the behavior by industries.
