ESG stock performance in Europe during the Russia-Ukraine war

Thumbnail Image

URL

Journal Title

Journal ISSN

Volume Title

School of Business | Bachelor's thesis
Electronic archive copy is available locally at the Harald Herlin Learning Centre. The staff of Aalto University has access to the electronic bachelor's theses by logging into Aaltodoc with their personal Aalto user ID. Read more about the availability of the bachelor's theses.

Authors

Date

2022

Department

Rahoituksen laitos

Major/Subject

Mcode

Degree programme

Rahoitus

Language

en

Pages

28

Series

Abstract

I study the relation between ESG score and stock returns in Europe during the Russia-Ukraine war from February 24th until August 31st in 2022. During the continuation period, from March 9th until May 31st, I find an abnormal 0.072% value-weighted daily return for the high ESG score stocks. However, over the entire period I do not find any significant abnormal returns for either high or low ESG score stocks. This indicates that ESG feature does not play a significant role in wartime returns. Even though cumulative returns are negative everywhere in Europe, value-weighted return for high ESG score stocks is 4.32 percentage points higher compared to Stoxx Europe 600 index from February 24th until August 31st. Market beta below one and lower annualized volatility compared to market show some signs of downward protection for value-weighted high ESG score stocks.

Description

Thesis advisor

Kokkonen, Joni

Keywords

ESG, abnormal return, Europe, war

Other note

Citation

Permanent link to this item

https://urn.fi/URN:NBN:fi:aalto-202301221383

Collections

[kand] Kauppakorkeakoulu / BIZ