On the protective effects of European sustainable stocks during the Russian invasion of Ukraine

Andreas Kick and Horst Rottmann

No 88, Weidener Diskussionspapiere from University of Applied Sciences Amberg-Weiden (OTH)

Abstract: Sustainable investments remain popular, attracting investors and researchers alike. Especially the tail-risk properties seem to differ between sustainable stocks and common stocks. Empirically, this can be observed in particular during extreme events. On February 24, 2022 Russian forces invaded Ukraine, thereby marking the beginning of a major historical event. Using standard event study methodology, we analyze if and how Refinitiv's environmental, social, and governance (ESG) ratings, as well as carbon dioxide (CO2) intensity, influence cumulative abnormal returns during different event windows. We find that the abnormal returns of companies with high ecological scores exhibit a protective effect in the pre- and post-event windows. However, this effect did not materialize in all observed event windows. Therefore, our results do not fully support the hypothesis of an 'ESG hedge' against such extreme events.

Keywords: abnormal returns; war; Ukraine; ESG; Russia (search for similar items in EconPapers)
JEL-codes: G11 G14 M14 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-cis, nep-env, nep-rmg and nep-tra
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/283004/1/1880418851.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:hawdps:283004

Access Statistics for this paper

More papers in Weidener Diskussionspapiere from University of Applied Sciences Amberg-Weiden (OTH)
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().