Sustainable Stocks and the Russian War on Ukraine - An Event Study in Europe

Andreas Kick and Horst Rottmann

No 9798, CESifo Working Paper Series from CESifo

Abstract: The popularity of sustainable investments is unbroken and attracts investors and researchers alike. Modelling the properties of such ‘green’ firms, Pástor, Stambaugh, and Taylor 2021 consider a hedge against climate risks in their theoretical model. Likewise, it could be assumed that companies with high social scores might offer a protection against related events. On February 24, 2022 with the Russian invasion on Ukraine one of the biggest events imaginable came to pass. Using standard event study methodology we analyse if and how Refinitiv’s ESG-ratings, as well as the CO2 intensity, influence the cumulative abnormal returns during different event windows. We find that the abnormal returns of companies with high ecological scores are positively influenced in the pre and post-event window. However the effects are of no economical relevance. Therefore our results do not fully support the hypothesis of an ‘ESG-hedge’ against such an extreme event. If such an effect exists, it was superimposed by other properties accounting for stability and defensiveness.

Keywords: abnormal returns; war; Ukraine; ESG (search for similar items in EconPapers)
JEL-codes: G11 G14 M14 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-cis, nep-ene, nep-env and nep-tra
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_9798

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