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Contrary to this conventional wisdom, we present robust evidence that once industry affiliation, market\u2010based measures of risk and accounting\u2010based measures of performance, financial position and intangibles investments have been controlled for, ESG offers no such positive explanatory power for returns during the COVID crisis. Specifically, ESG is insignificant in fully specified returns regressions for each of the Q1 2020 COVID market crisis period and for the full COVID year of 2020. By contrast, a measure of the firm's stock of investments in internally generated intangible assets is an economically and statistically significant positive determinant of returns during each of the Q1 market implosion and full 2020 COVID year periods. Our results are robust to alternative measures of returns, as well as for using Refinitiv, Refinitiv II and MSCI data to capture ESG performance. We conclude that ESG did not immunize stocks during the COVID\u201019 crisis, but those investments in intangible assets did.<\/jats:p>","DOI":"10.1111\/jbfa.12523","type":"journal-article","created":{"date-parts":[[2021,3,20]],"date-time":"2021-03-20T02:10:46Z","timestamp":1616206246000},"page":"433-462","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":411,"title":["ESG did not immunize stocks during the COVID\u201019 crisis, but investments in intangible assets did"],"prefix":"10.1111","volume":"48","author":[{"given":"Elizabeth","family":"Demers","sequence":"first","affiliation":[{"name":"School of Accounting and Finance University of Waterloo  Waterloo Ontario Canada"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jurian","family":"Hendrikse","sequence":"additional","affiliation":[{"name":"Tilburg School of Economics and Management Tilburg University  Tilburg The Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Philip","family":"Joos","sequence":"additional","affiliation":[{"name":"Tilburg School of Economics and Management and TIAS School for Business and Society Tilburg University  Tilburg The Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Baruch","family":"Lev","sequence":"additional","affiliation":[{"name":"Stern School of Business New York University  New York New York USA"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2021,4,8]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rcfs\/cfaa011"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v74.n3.2"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2020.101876"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1093\/rapstu\/raaa008"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(96)00890-2"},{"key":"e_1_2_7_7_1","first-page":"91","article-title":"The illusory promise of stakeholder governance","volume":"106","author":"Bebchuk L.","year":"2020","journal-title":"Cornell Law Review"},{"key":"e_1_2_7_8_1","doi-asserted-by":"crossref","unstructured":"Berg F. 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