Abstract
I examine investors' within ESG investment preferences during the COVID‐19 pandemic by investigating the return spillover effects across the three different corporate bonds and equities‐based investment strategies. Investors prefer making investments in ESG leaders in the investment‐grade corporate bond market over ESG leaders in the equity and high yield corporate bond markets during times of uncertainty. It suggests that capital flows away from high yield corporate bond and equity markets to the investment‐grade corporate bond market. Investors find refuge in firms with relatively higher ESG ratings and creditworthiness in the fixed income market over the equity market during crisis periods.
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