CSR activities are widely recognized as risk-reducing mechanism. Our paper analyzes the relationship
between ESG engagement and firm risk for STOXX Europe 600 companies, with a particular focus on
the Real Estate sector. Our sample includes 7’560 observations from 517 firms from 2002 to 2021, with
specific consideration of the financial and COVID-19 crisis. We find a generally negative correlation
between total firm risk and environmental and social commitments. For real estate firms only certain
CSR activities have a risk-reducing effect. Relationships between beta and ESG seem weak, but there
exist strong crisis effects for Real Estate firms. Accordingly, CSR in the Real Estate sector has a specific
impact on risk due to industry–specific characteristics. Overall, our analyses imply CSR in the Real Estate sector to exhibit noticeable peculiarities and a crisis resilience, but also a higher sensitivity to overall market movements, depending on the nature of the crisis.
