A study published in the Journal of Personality and Social Psychology has found that a high self-esteem does not lessen the effect of stressful events on depression. The study was conducted by Ulrich Orth and Richard Robins of the University of California and Laurenz Meier of the University of Bern.
This finding disputes the claim that a high self-esteem can act as a buffer against stressful events. According to the buffering hypothesis,
“individuals with low self-esteem are assumed to have fewer coping resources and thus are prone to depression, whereas those with high self-esteem are assumed to have better coping resource.” 
Another hypothesis concerning the relationship between self-esteem and stressful events claims that low self-esteem generates stressful events, because individuals with low self-esteem are more likely to engage in anti-social behavior.
The new findings come from three longitudinal studies of adolescent and young adults with a total of 3,011 participants. The longitudinal studies ranged from six weeks to six years
Although the studies found that both low self-esteem and stressful events were risk factors for depression, these two factors acted independently of each other. As the authors of the study note,
“low self-esteem and depression are not related simply because challenging life events lead to lower self-esteem and depression.”
High self-esteem did not buffer against stressful events nor was any evidence found that low self-esteem generated stressful events.
The study also found that individuals suffering from depression were more likely to experience stressful events than those not suffering from depression, but why this phenomenon occurs was not examined.
Orth, U., Robins, R.W. & Meier, L.L. (2009) Disentangling the effects of low self-esteem and stressful events on depression: Findings from three longitudinal studies. Journal of Personality and Social Psychology, Vol 97, No 2: 307-321.