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Crisis-proofing real estate: ESG and downside risk resilience in European market shocks. Measuring impact for "BPI Impacto Clima" funds
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This thesis examines whether stronger ESG performance strengthened downside resilience in
European listed real‐estate firms during two severe shocks, namely the Q1 2020’s COVID‐19
sell‐off and Q3 2022’s energy crisis. Leveraging Refinitiv ESG scores, daily price and volume
data, and quarterly financials for 16 firms across varied regulatory stringency, we calculate
maximum drawdown, realized volatility, and Sharpe ratios. Cross‐sectional and fixed‐effects
regressions reveal no significant ESG impact on drawdown or volatility and a marginal negative
crisis‐period Sharpe effect. These findings imply that ESG alone does not ensure crisis
resilience, highlighting the need to integrate sustainability metrics with traditional risk‐
management tools.
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Real Estate investments Downside risk resilience EU regulation ESG integration CEMS MIM