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The impact of the 2014 oil price shock on corporate sustainability and performance

Hagander, Morits Julius; Johnstad, Thea Elisabeth
Master thesis
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URI
https://hdl.handle.net/11250/2737480
Date
2020
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  • Master Thesis [3762]
Abstract
Our thesis aims to study whether high sustainability companies in Europe outperform

low sustainability companies in terms of stock performance following the oil price shock

in 2014. To conduct this analysis, we employ a data sample consisting of monthly stock

returns from publicly listed firms on European stock exchanges, collected from Refinitiv

Eikon. We use Refinitiv’s ESGC score to measure the companies’ degree of environmental

and social responsibility effort and divide the top and bottom quartiles into two different

groups. We employ a difference-in-differences method and regress the monthly stock

returns in the period 2010-2017 on an interaction between a dummy for the post-shock

period and a dummy for the group of high sustainability companies. We control for

non-diversifiable risk factors and factors proxying for financial health, which previous

literature has found to influence returns. Our results suggest the two groups follow a

similar trend prior to the shock, before the high sustainability companies significantly

outperform their counterparts over the long term following the shock.

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