In the wake of the COVID-19 stock market crash, the debate over ESG’s ability to preserve
shareholder value through turbulent times has received increasing attention. In this thesis we
analyze the effect of ESG on stock market performance during the COVID-19 Nordic stock
market, and whether ESG acted as a resilience factor. We test 188 listed Nordic firms during
the crisis from February 19 to March 23 and the rebound period from March 23 to June 5. In
our first model, a cross-sectional model with Buy-and-Hold Abnormal Returns, we find a
neutral relationship between ESG and stock market performance during the crisis, but a
negative relationship during the rebound, which we believe can be explained by market
sentiment. A second model, a panel data model with fixed effects, confirms these results and
finds a differential effect of ESG when comparing the rebound to ordinary times. Amongst the
three ESG dimensions, our findings indicate that the Environmental dimension played a main
role in the negative effect during the rebound. Our results are robust to multiple tests, but the
results are limited to ESG-scored, Nordic firms. Further, we identify potential issues of
sampling bias for ESG-rated firms, which should be further explored in future research.nhhma
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