| dc.description.abstract | This thesis investigates whether ESG Score announcements by Thomson Reuters present
new information to investors in the Nordic region. The data set consists of 1278 unique
events for 309 unique firms publicly noted in either Sweden, Denmark, Norway or Finland
in the time period from 2011 to 2020. ESG Score announcements are viewed relative
to the score from the previous year, and segmented into positive, negative, and neutral
events based on the magnitude of change. Positive events have a year-on-year change
of at least 10.61 percent, while negative events have a year-on-year change of less than
-2.77 percent. We apply event study methodology and define a test battery consisting
of a parametric and a non-parametric test, yielding a test battery robust to flaws in our
data set. We found evidence of positive abnormal stock price reactions in days prior to
the announcement of both positive and negative events. Therefore, we find evidence that
the ESG Score might bring new information to investors. Furthermore, probit regressions
are used to examine whether firm characteristics correlate with stock price reactions. We
find evidence that smaller firms have a higher likelihood of positive abnormal stock price
reactions in days prior to positive and negative events. Moreover, positive events dated
2017 or later, have a higher likelihood of positive stock price reactions in the days prior to
the events. The same effect, meaning a positive relationship between the likelihood of
positive abnormal price reactions and events dated 2017 or later, is also present for the
day prior to negative events.
Keywords – ESG Score, event study, firm characteristics, probit regression. | en_US |
