The impact of the 2014 oil price shock on corporate sustainability and performance
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- Master Thesis 
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.