Description:
Focusing on euro area stocks around the time of the Russian invasion of Ukraine, we investigate the performance of the individual ESG pillars using an event study methodology. We find that higher governance scores were associated with higher cumulative abnormal stock returns, possibly suggesting that well-run companies were particularly valued in the face of uncertainty and adversity. The higher the trade balance with Russia, the more such good governance mattered. Social and environmental issues appear to have been less in focus. Our study draws attention to the heterogeneities within the ESG concept and ESG's context-dependent properties during uncertain times