11 With the inclusion of these additional controls, some of which our forthcoming regressions reveal to be highly significant determinants of returns, the significance of either ES or ESG as a determinant of COVID‐19 crisis period returns definitively vanishes in both Q1 and full year 2020 returns regressions.
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ESG did not immunize stocks during the COVID-19 crisis, but investments in intangible assets did.
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