Description:
This paper aims to understand the role of CSR and Corporate Governance in stock price behavior during the Covid crisis while considering investor attention. The Google Search Volume Index (GSVI) is used to evaluate the attention parameter in a global setting of 1,275 stocks in advanced and emerging economies between 2018 and 2021, while the financial risk is proxied by Negative Conditional Skewness (NCSKEW) of stock returns. The results indicate that stronger investor sentiment is associated with higher volatility while finding that the interaction term is statistically significant at conventional thresholds. This evidence suggests that the influence channel of investor sentiment, more than just the pandemic intensity per sè, could explain the negative association between financial risk and overall CSR and Corporate Governance performance. The magnitude of the mitigation effect is relatively similar between the overall CSR and the Corporate Governance component. Robustness analyses confirm overall results