ESG risk exposure, management and firm risk: new evidence from a panel quantile regression approach

Galdos Urbizu, Libe ; Ortas, Eduardo (Universidad de Zaragoza) ; Alvarez Etxeberria, Igor

Resumen: This paper addresses how the environmental, social and governance (ESG) risk of a firm influences their global risk. Differentiated ESG risk measures are used to test for an excess risk effect derived from companies’ effective management of ESG risk factors. With a panel quantile regression using the method of moments, we investigated a data set of 4,792 international firms over the 2018–2022 period, yielding a total of 23,960 firm-year observations. The results align with risk management theory, showing that firm risk increases with higher ESG risk. However, ESG risk exposure and unmanaged ESG risk have an asymmetrical effect on firm risk, with the latter being more positively influenced in the upper quantiles. Sensitivity analyses reveal that the findings are robust even during different market cycles, such as the recent COVID-19 pandemic. Managerial implications and insights for investors are useful regarding the riskiness of ESG issues and strategies for mitigating them.

Idioma: Inglés

DOI: 10.1080/23311975.2025.2585542

Año: 2025

Publicado en: Cogent Business and Management 12, 1 (2025), [20 pp.]
ISSN: 2331-1975

Financiación: info:eu-repo/grantAgreement/ES/AEI/PID2023-146084OB-I00
Financiación: info:eu-repo/grantAgreement/ES/DGA/S33-20R

Tipo y forma: Article (Published version)

Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)