ESG disclosures and market reaction
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Keywords
ESG disclosures ; Event study ; Abnormal returns ; Financial performance ; Sustainability reporting ; Corporate social responsibility ; S&P 500Abstract
This thesis investigates the financial impact of Environmental, Social, and Governance (ESG) reporting on stock prices. While corporate sustainability has gained increasing importance in the modern business environment, empirical evidence regarding the market's immediate reaction to the precise publication date of these reports remains inconclusive. To address this research gap, the study employs an event study methodology on a proprietary, hand-collected dataset comprising 312 release dates of ESG disclosures from 67 top-tier firms, in the S&P 500 index, between 2021 and 2025. The analysis utilizes the Market Model to calculate abnormal returns, supplemented by the Fama-French Three Factor Model (FF3M) for robust statistical validation. Contrary to the common belief that sustainability performance yields positive financial outcomes, the empirical results reveal a statistically significant negative Average Abnormal Return (-0,27% based on Market Model or -0,22% according to FF3M) on the event day. Furthermore, the analysis reveals a strong asymmetric market reaction based on companies' pre-existing ESG ratings. Specifically, highly rated ESG firms experienced a statistically significant negative Cumulative Average Abnormal Return (CAAR), whereas firms with lower ESG scores exhibited a negligible impact. Finally, no clear temporal trend regarding the impact of these disclosures was observed over the examined five-year period. These findings suggest that investors may interpret the release of an ESG report, particularly by highly rated firms, as a signal of cost-intensive initiatives that constrain short-term profitability. The research highlights a potential implicit market reward for companies that prioritize profit maximization over costly sustainability activities.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με ειδίκευση στη Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
63Language
English
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα