| dc.description.abstract | 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. | en_US |
