Higher ESG scores reduce the stress-period probability of severe cofragility by 0.92 percentage points (9% relative) in equity markets, with effects concentrated in downside tails and volatility spikes.
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Stress Amplified Resilience: ESG and Joint Fragility in Equity Markets
Higher ESG scores reduce the stress-period probability of severe cofragility by 0.92 percentage points (9% relative) in equity markets, with effects concentrated in downside tails and volatility spikes.