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Assessing Financial and ESG Outcomes of Sustainable Firms During the COVID-19 Crisis
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Empirical Analysis of ESG and Financial Performance
Student thesis : Master thesis
Globally, investors and financial markets are directing increasingly more attention towards responsible investments. The term “responsible investing” is often interpreted as environmental, social and governance (ESG) concerns for investment decisions with a long-term perspective. The concept has become increasingly more relevant among consumers, government, investors and stakeholders. The increased focus is not based on empirically superior relationships between risk and return, but rather on a shift in demand for responsible investments with a more long-term perspective. Previous studies focusing on the relationship between ESG and financial performance are split into three distinctions; positive, neutral and a negative relationship. These three counterparts find theoretical arguments and statistical evidence supporting their results, and a clear conclusion regarding the relationship is yet to be made. This thesis examines the relationship that has puzzled the academia, with a thorough and critical review of existing literature on ESG investing. The empirical analysis examines portfolios with varying degrees of ESG performance, where the performance has been identified by the companies’ respective ESG and controversy score. These numbers are provided by Refinitiv, which is the successor of Asset 4, and are collected through Thomson Reuters Datastream. By application of traditional asset pricing models, namely the CAPM, Fama & French three-factor, Carhart four-factor and Fama & French five-factor model, the return on various portfolios has been controlled against known risk factors. Moreover, both ESG and controversy factors have been developed to study the relationships in greater depth. The results find evidence that implies a negative relationship between high ESG scores and excess returns. However, this result is not evident in the robustness tests, where the portfolios are divided into sub-periods and classified into different portfolio sizes. In contrary to previous findings, the analysis finds evidence that the companies with the absolute lowest ESG scores have a negative excess return. Nevertheless, the negative alpha is not substantially different from zero. There is no evidence in the analysis that can provide an answer to the question of whether or not controversies have any effect on the excess return. The results are more supportive of the literature that implies a negative correlation between increased ESG initiatives and financial performance measured by excess returns. However, the question of whether ESG is priced in by the financial market remains open for further investigation.
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Daniele, Alessandro <1994>. "il rating ESG." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19427.
Arias, Mariakamila. "ESG Disclosures & Materiality." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2011.
Dreon, Alessandro <1996>. "ESG E CREDIT QUALITY." Master's Degree Thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/17580.
Kemi, Inga, and Anton Samuelsson. "Företagsstorlek och ESG-betyg : En kvantitativ studie om företagsstorlekens påverkan på ESG-betyget." Thesis, Högskolan i Gävle, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-35146.
Ahlin, Filip, and Anton Wahlstedt. "ESG-investerande och portföljresultat : En studie av ESG-investerande utifrån metoden bäst-i-klassen." Thesis, KTH, Optimeringslära och systemteori, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-170167.
Olsson, Linda, and Gustav Dahlin. "ESG och finansiell prestation : En studie om ESG-betygs inverkan på avkastning och risk." Thesis, Linköpings universitet, Produktionsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-179910.
Salata, Gloria <1995>. "SRI investment and ESG rating: analysis of the flaws of the ESG rating agencies." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19254.
Smoljan, Marin, and Jonatan Danielsson. "Hållbart ESG-sparande: Investmentbolag vs fonder : en komparativ studie mellan investmentbolag och fonder inom ESG." Thesis, Högskolan Kristianstad, Fakulteten för ekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hkr:diva-21193.
Med tanke på Corona-viruset gjordes både presentationen och oppositionen via Zoom.
Andersson, Rönning Simon, and Jacob Rönning. "ESG-betyg och företagsvärdering : En studie om ESGs påverkan av en akties värdering." Thesis, Karlstads universitet, Handelshögskolan (from 2013), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-79061.
Heger, Levin, and Lisa Åkerman. "Momentum in ESG Indexes : A study on the passive capital flows effect on ESG stock prices." Thesis, Umeå universitet, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-185265.
Moscan, Nicola <1994>. "Sustainable Investing: ESG Mutual Funds Performance." Master's Degree Thesis, Università Ca' Foscari Venezia, 2019. http://hdl.handle.net/10579/15128.
Bosco, Edoardo <1993>. "Disclosure ESG e Performance di Portafoglio." Master's Degree Thesis, Università Ca' Foscari Venezia, 2019. http://hdl.handle.net/10579/16051.
Franco, Gabriele <1995>. "Investimenti ESG: rating, rischio e rendimento." Master's Degree Thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/16754.
Urio, Sebastiano <1996>. "ESG rating e rischio di credito." Master's Degree Thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/17688.
Dantini, Giacomo <1994>. "ESG as an assessment of risk." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19060.
Obrizzo, Simone <1996>. "ESG valuation: a web scraping approach." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19299.
Roveroni, Alessandro <1997>. "Principal Component Analysis on ESG data." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19941.
Lahti, Jens, and Lovisa Westgärds. "ESG-betyg och Företagsrisk : En kvantitativ studie på 591 europeiska företag om ESG-betygets effekt på företagsrisk." Thesis, Högskolan i Gävle, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-35987.
Kjerstensson, Lovisa, and Hanna Nygren. "ESG Rating and Corporate Bond Performance : An analysis of the effect of ESG rating on yield spread." Thesis, Umeå universitet, Företagsekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-161328.
Martí, i. Masana Guillem. "ESG Audit: modelo de ráting para la ESG. Parametrización de la relación de la empresa con su entorno." Doctoral thesis, Universitat Abat Oliba, 2016. http://hdl.handle.net/10803/398204.
Harnett, Elizabeth S. "Responsible investment and ESG : an economic geography." Thesis, University of Oxford, 2018. http://ora.ox.ac.uk/objects/uuid:2ea40d92-cec6-48a1-8461-c6bd29d09622.
Avril, Luc-Lao. "ESG Integration in AP1 Systematic Equity Strategies." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-234854.
Fernkvist, Karin. "Hållbarhetsrapportering - skapar ESG-faktorer värde för investerare?" Thesis, Högskolan i Gävle, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-23775.
Cancelli, Lorenzo <1995>. "ESG and Firms' Creditworthiness: An Empirical Analysis." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19846.
Moschioni, Monica <1997>. "ESG rating: l’impatto delle sue variazioni sull’equity." Master's Degree Thesis, Università Ca' Foscari Venezia, 2022. http://hdl.handle.net/10579/21131.
Bui, Thi Mai Anh, and Alessandra Frongillo. "How does the market perceive ESG in IPOs : Investigating how ESG factors affect IPO Underpricing in the U.S. market." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172446.
Bring, Viktor, and Malcolm Jobe. "En studie om ESG-betygets effekt på avkastning." Thesis, Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-177670.
Latino, Carmelo <1994>. "The environmental, social and governance (ESG) investing landscape." Master's Degree Thesis, Università Ca' Foscari Venezia, 2019. http://hdl.handle.net/10579/15961.
Bortoletto, Emanuele <1994>. "ESG a new boundary for hedge fund investing." Master's Degree Thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/17174.
Via, Edoardo <1996>. "Rating ESG Divergenze e applicazione dell'Integrale di Choquet." Master's Degree Thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/17680.
Scapin, Riccardo <1995>. "Evoluzione degli Investimenti ESG nell'industria del risparmio gestito." Master's Degree Thesis, Università Ca' Foscari Venezia, 2022. http://hdl.handle.net/10579/21090.
Sari, Martina <1996>. "ESG integration and financial performance. Investment analysis of ESG portfolios compared with traditional ones utilising equally weighted and mean-variance methods." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19033.
Zeidan, Mellqvist Oskar, and Elin Sjödin. "ESG och finansiell prestation under covid-19-pandemin : En kvantitativ studie om svenska företags finansiella prestation under pandemin kopplat till ESG-betyg." Thesis, Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-177609.
Gilmore, John Y. "Testing for systematic ESG fund construction and independence measures." Thesis, Massachusetts Institute of Technology, 2018. http://hdl.handle.net/1721.1/118551.
Filho, SebastiÃo Andrà Alves de Lima. "O que a Escola Superior de Guerra (ESG) Ensinava." Universidade Federal do CearÃ, 2011. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=10817.
Ruberg, Nicolaas. "Bert goes sustainable: an NLP approach to ESG financing." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2021. http://amslaurea.unibo.it/24787/.
Jakobsson, Robin Jari Mattias, and Leo Lundberg. "The Effect of ESG Performance on Share Price Volatility." Thesis, Umeå universitet, Företagsekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-149982.
MAGNÚSDÓTTIR, KAREN, and GUSTAV BERNDTSON. "An Exploratory Study of ESG and R&D." Thesis, KTH, Skolan för industriell teknik och management (ITM), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-300119.
Lima, Filho Sebastião André Alves de. "O que a Escola Superior de Guerra (ESG) ensinava." reponame:Repositório Institucional da UFC, 2011. http://www.repositorio.ufc.br/handle/riufc/24611.
Boffo, Riccardo <1995>. "ESG Investing: Performances and impact in Italy and U.S." Master's Degree Thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/18123.
Zecchin, Francesca <1997>. "Influenza dei fattori ESG sulla valutazione del merito creditizio." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19741.
Paoletti, Simone <1998>. "Integrazione della dimensione ESG nella valutazione del merito creditizio." Master's Degree Thesis, Università Ca' Foscari Venezia, 2022. http://hdl.handle.net/10579/21948.
Ammann, Reto. "ESG Integration Among Large Nordic Institutional Asset Owners : Mapping Large Nordic Institutional Asset Owners’ Approaches to Sustainability and ESG Integration in the Investment Process." Thesis, KTH, Hållbar utveckling, miljövetenskap och teknik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-256486.
Ridne, Ahlqvist Martin, and Timmy Fredriksson. "Investerare, hållbarhet & ESG : En fråga om legitimitet och autopoiesis?" Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-30652.
Mooij, Stephanie. "The (mis)alignment of ESG perspectives in the investment chain." Thesis, University of Oxford, 2018. http://ora.ox.ac.uk/objects/uuid:2fce07f2-0f77-4c0c-9dc1-f0a4aa8bfd35.
Teixeira, João César Gomes. "Equity research Galp Energia SGPS SA : ESG approach to valuation." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20854.
Correia, Alexandre Diogo Figueira da Silva. "ESG performance, tax avoidance and external financing decisions in Europe." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20881.
Broberg, Piller William, and August Harryzon. "ESG-investerande : En studie om fonders riskjusterade avkastning utifrån hållbarhetsbetyg." Thesis, KTH, Fastigheter och byggande, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-276762.
Carlsson, Julia, and Olsson Sofia Bergbom. "ESG-score och styrelsen : Svenska företags hållbarhetsredovisning, könsdiversifiering och styrelsepositioner." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-447479.
Olovsson, Linnéa, and Daniel Martinsson. "Hållbarhetsarbete, en värdeskapare eller värdesänkare? : ESG-betygets samband med marknadsvärderingen." Thesis, Umeå universitet, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-185476.
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Sustainable Finance: ESG performance and disclosure in the capital market context
Research output : Thesis › Doctoral Thesis › Internal
- capital market
- sustainability
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- 10.26481/dis.20171012ch
- Full text Final published version, 2.06 MB
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T1 - Sustainable Finance
T2 - ESG performance and disclosure in the capital market context
AU - Hauptmann, Clarissa V.
N2 - This dissertation examines the dynamics between corporate sustainability and capital market outcomes. It uncovers the role and impact of financial institutions on fostering sustainability, addresses the value-relevance of sustainability disclosures, and examines the effects of leadership diversity on capital market outcomes.The research shows that weak corporate sustainability performance results in higher bank loan costs when the lending bank has strong performance. It was also shown that companies run by female top executives have better access to bank loan capital, but that this advantage is conditional on the cultural environment. Furthermore, she shows that sustainability disclosure reduces stock price co-movements with the industry and market, reflecting valuable firm-specific information.
AB - This dissertation examines the dynamics between corporate sustainability and capital market outcomes. It uncovers the role and impact of financial institutions on fostering sustainability, addresses the value-relevance of sustainability disclosures, and examines the effects of leadership diversity on capital market outcomes.The research shows that weak corporate sustainability performance results in higher bank loan costs when the lending bank has strong performance. It was also shown that companies run by female top executives have better access to bank loan capital, but that this advantage is conditional on the cultural environment. Furthermore, she shows that sustainability disclosure reduces stock price co-movements with the industry and market, reflecting valuable firm-specific information.
KW - capital market
KW - sustainability
U2 - 10.26481/dis.20171012ch
DO - 10.26481/dis.20171012ch
M3 - Doctoral Thesis
SN - 978 94 6159 755 7
PB - Datawyse / Universitaire Pers Maastricht
CY - Maastricht
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This master thesis represents the end of a two-year master's degree program in Finance & Strategic Management at Copenhagen Business School. The thesis is a quantitative study of responsible investments, where the main focus lay on the effect of ESG criteria and financial performance. The motivation was to do a quantitative study in practice
This thesis investigates the impact of ESG performance score of the companies in their ability to access loans from banks. The data used in this analysis is based on 4828 deals lent to 1645 US companies during the period of 2006-2016. For the accuracy of the results, the data was separated into the strength ...
for the Degree of Master of Liberal Arts in Extension Studies Harvard University May 2022 Financial and ESGOutcomes of Sustainable FirmsDuring the COVID-19 Crisis. ... crisis on a wide range of outcomes are moderated by ESG practices. My thesis focused on the COVID-19 crisis as an example of how an unexpected,
Abstract It is a common belief that sustainability and pro tability are mutually exclusive con- cepts. Traditionally, investment decisions have been based on a narrow set of criteria relating to the trade-o between risk and return. Nevertheless, a growing demand for ESG strategies has led to a proliferation in o erings centered around ...
Master Thesis MSc. Financial Economics ESG Investing: Does an ESG Premium Exist and How Does SRI Impact Companies' Cost of Capital? Corentin Iannello (539276) Email: [email protected] December 13th, 2020 The views stated in this thesis are those of the author and not necessarily those of the supervisor, second assessor,
Master's thesis, Harvard University Division of Continuing Education. Abstract The COVID-19 crisis is an independent shock that generates a rare opportunity to study how markets and firms react in a short span of time. Although previous research has shown a positive relationship between stock returns and sustainable practices during the ...
4 table of contents chapter 1 research overview 5 1.1 introduction 5 1.2 landscape of esg-related studies 6 1.3 research scope and conceptual framework 6 1.4 research methodology 7 1.5 limitations of collected data 8 chapter 2 - esg integration in investment process 10 2.1 governance of esg 10 2.2 non-direct investment strategies 11 2.3 acquisition and development 12
Finally, a recent paper that incorporates ESG investing into the MPT framework is discussed. 3.1 Modern Portfolio Theory. The MPT is a mean-variance theory that provides the foundation for portfolio construction and optimization. The MPT optimizes the relationship between returns and risk (Markowitz, 1952).
ESG rating agencies and serve as an indication of a company's adherence to ESG standards and practices. ESG Momentum ESG momentum refers to the change or trend in a company's ESG (Environmental, Social, and Governance) performance over time. It's a concept used by investors to identify companies that are improving their ESG practices,
Master Thesis Author: Petra Salko (141946) Supervisor: Domenico Tripodi Number of Characters: 181,570 Number of Pages: 72 15th of May 2022 . 1 ... of ESG affect the value creation of a target in opposing ways, which might be one of the reasons previous studies have presented mixed results. When examining the effect of ESG on acquirors, the ...
In this thesis, we investigate the impact of covid-19 on ESG versions of broad market indices from S&P. We use a cross-market approach and look for abnormal returns in Europe, the US, and the global market. A total of nine ESG indices are used - three from each market - with different approaches to ESG investing.
Master's thesis ESG performance and corporate financial performance - An empirical study of the US technology sector BUSN89 - Degree project in Corporate and Financial Management ... ESG indicators allow to capture and measure the extra-financial performance in all three dimensions of ESG issues (Bassen & Kovacs, 2008). Thus,
Master Thesis October 2021 Erasmus School of Economics, Erasmus University Rotterdam Author: Sheda Delfan Student number: 451826 Msc. Financial Economics ... ESG Momentum scores historically show uncorrelation to any of the equity style factors used in the study (See Appendix 1). Giese and Nagy (2018) use year-on-year changes of MSCI ESG ...
2 Title: Environmental, Social, Governance (ESG) Integration and Organizational Change.A multi-case study of investment companies Authors: Carlos Perez Baez and Marie-Amelie Remond Main field of study: Leadership and Organization University: Malmö University Subject: Master Thesis with a focus on Leadership and Organization for Sustainability (OL646E)
Stakeholder theory. This master thesis is a deductive, quantitative research study with a focus on objectivity. It was found that buyers view ESG investments as advantageous when researching the overall ESG score. The three pillars did not however display any separate advantageous traits. ESG score has a positive relation to risk which might
This thesis examines the relationship that has puzzled the academia, with a thorough and critical review of existing literature on ESG investing. The empirical analysis examines portfolios with varying degrees of ESG performance, where the performance has been identified by the companies' respective ESG and controversy score.
The relationship between the ESG criteria and the financial performance of a company Maria Triantafyllidou UNIVERSITY CENTER OF INTERNATIONAL PROGRAMMES OF STUDIES SCHOOL OF HUMANITIES, SOCIAL SCIENCES AND ECONOMICS A thesis submitted for the degree of Master of Science (MSc) in Banking & Finance December 2021 Thessaloniki - Greece
leaders. In addition, ESG leaders are more likely to have lower Tobin's Q, whereas the decrease in Tobin's Q associated with financial crisis is lower for ESG leaders than ESG laggers. This thesis does not find a significant relationship between ESG performance and net margin before or after the financial crisis.
Master Thesis. 2 Abstract This study examines how environmental, social and governance (ESG) performance is related to the financial performance of a firm. Although the large amount of previous research a ... cases ESG is implemented into an investment policy by either negative screening, positive screening or with an engagement strategy. In ...
ESG ratings with a relatively good coverage worldwide, and information retrieved from Refinitiv Datastream is sufficient to conduct current research. 1.3.Structure of the study The thesis is structured as follows: literature review with the summary of results on relationship between ESG and stock performance at different markets will
This Master's thesis analyses performances of Environmental, Social and Governance (ESG) portfolios built through specific investment approaches in different geographical regions (Italy and U.S.). The intention is to understand how certain ESG investment strategies affect portfolio performances and how these compare to the benchmark portfolio.
T2 - ESG performance and disclosure in the capital market context. AU - Hauptmann, Clarissa V. PY - 2017. Y1 - 2017. N2 - This dissertation examines the dynamics between corporate sustainability and capital market outcomes.