We use the exogenous shock of COVID-19 to explore the resilience of firms with strong ESG (environmental, social, and governance) ratings across 63 countries and three asset classes: stocks, credit default swaps (CDS), and corporate bonds. We show that the resilience of strong ESG firms is not a consistent global phenomenon outside of North America and varies considerably across countries. Additional evidence points towards a substitution effect between firm-level sustainability performance as captured by ESG ratings and country-level sustainability performance especially in terms of healthcare coverage. Overall, our findings indicate that the capacity of strong ESG firms to serve as “rainy day assets” is geography-dependent and that ESG considerations can also affect international corporate debt markets.

我们利用 COVID-19 的外源冲击来探讨 63 个国家和股票、信用违约掉期 (CDS) 和公司债券这三种资产类别中具有较高 ESG（环境、社会和治理）评级的公司的复原力。我们发现，强大的 ESG 公司的复原力并不是北美以外的一致的全球现象，并且在不同国家之间存在很大差异。其他证据表明，ESG 评级所反映的公司层面可持续发展绩效与国家层面可持续发展绩效之间存在替代效应，尤其是在医疗保健覆盖方面。总体而言，我们的研究结果表明，强大的 ESG 公司充当“雨天资产”的能力取决于地理位置，而且 ESG 考虑因素也会影响国际公司债务市场。