Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/283004 
Year of Publication: 
2024
Series/Report no.: 
Weidener Diskussionspapiere No. 88
Publisher: 
Ostbayerische Technische Hochschule Amberg-Weiden (OTH), Weiden i.d.OPf.
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.
Subjects: 
abnormal returns
war
Ukraine
ESG
Russia
JEL: 
G11
G14
M14
ISBN: 
978-3-937804-98-9
Document Type: 
Working Paper

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