How shareholders react to sustainable narratives about leading European energy companies? An event study using sentiment data from the global database for events, language and tone (GDELT)

Alberto Barroso del Toro, Xavier Tort-Martorell and Miguel Angel Canela

Applied Economics, 2022, vol. 54, issue 30, 3482-3494

Abstract: This study aims to investigate how the shareholders of leading European energy companies value sustainability narratives. It uses news from the Global Database of Events, Location, Language, and Tone (GDELT) and analyses the cumulative average abnormal returns (CAAR) and abnormal volatilities (AV), incorporating the event study methodology. A total of 279,546 big news items were used, and 4,026 event studies were conducted. The extensive analysis of data and the segmentation of the news by tone, type of energy generation and environmental consequences helps to understand shareholders’ investment decisions. This study found that the sustainability narrative significantly impacts shareholder value; however, this narrative’s interpretation has no consensus. The sustainability news about these companies moves the stock market upwards for some shareholders, while others do the contrary. These results are observed by comparing CAAR and AV. The results found by this article are crucial for regulators to push forward an effective ecological transition. It should be legislated so that there is a common shareholders’ narrative, discouraging highly polluting investments.

Date: 2022
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DOI: 10.1080/00036846.2021.2009759

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