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

20 Pages Posted: 16 Jun 2022

See all articles by Andreas Kick

Andreas Kick

University of Regensburg

Horst Rottmann

University of Applied Sciences Amberg-Weiden

Date Written: 2022

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

JEL Classification: G110, G140, M140

Suggested Citation

Kick, Andreas and Rottmann, Horst, Sustainable Stocks and the Russian War on Ukraine - an Event Study in Europe (2022). CESifo Working Paper No. 9798, Available at SSRN: https://ssrn.com/abstract=4137955 or http://dx.doi.org/10.2139/ssrn.4137955

Andreas Kick (Contact Author)

University of Regensburg ( email )

93040 Regensburg
D-93040 Regensburg, 93053
Germany

Horst Rottmann

University of Applied Sciences Amberg-Weiden ( email )

Hetzenrichter Weg 15
96215 Lichtenfels
Germany

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