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ESG Disclosure and Short-term Return After IPO: A study of the ESG indicators of Norwegian new listing companies in 2020 and their returns

Zhao, Mengting; Pan, Xifei
Master thesis
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https://hdl.handle.net/11250/2982410
Utgivelsesdato
2021
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  • Master Thesis [3762]
Sammendrag
With the concept of sustainability gaining traction in the business world, ESG indicators

are beginning to be used by investors as one of their investment metrics. While global

finances were hit hard by the pandemic in 2020, there was an extraordinary surge of

new listing companies in Norway. In this paper, we try to investigate whether the ESG

disclosure in the prospectus or information document (admission document) filed by

Norwegian companies during their listing procedure in 2020 has an impact on their

short-term share price returns. We divide the textual analysis into two dimensions, ESG

term frequency and sentiment analysis. We use the ESG basis vector to construct our

own ESG dictionaries and use them as the benchmark for our textual analysis. We mainly

use multiple linear regression to explore the relationship between variables but also

attempt to fit several machine learning models. From the results of the regression analysis,

underpricing is the most sensitive to ESG indicators, as environmental term frequency,

environmental sentiment and governance sentiment are all significantly correlated with

it. In contrast, 3-day return is not significantly related to any ESG indicator; 1-week

return and 1-month return are significantly related to environmental term frequency and

governance sentiment, respectively.

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