Bærekraftrapportering og finansiell prestasjon: Empirisk undersøkelse av amerikanske aksjer

Hans Christian Grini & Olav Mathis Rebne Stenseth

Student thesis: Master thesis

Abstract

This thesis examines the relationship between sustainability reporting and corporate financial performance for the American stock market over the time period of 2010-2019. The metric used for sustainability reporting is the Bloomberg ESG disclosure score, while corporate financial performance is measured by a stock’s excess return over the risk-free rate. The analysis is conducted through four analytical approaches. Firstly, the relationship between sustainability reporting and financial performance is studied by utilizing the Fama-MacBeth cross-sectional regression for CAPM(1), the Fama-French three- (2) and five factor model (4), as well as the Carhart four factor model (3). In addition, an ESG disclosure score factor is constructed to capture the impact of sustainability reporting on excess returns. The results show a significant negative relationship between sustainability reporting and excess return for the CAPM and Fama-French three factor model. The results from model (3) and (4) show no statistical significance. The relationship is further examined through a portfolio study by constructing portfolios consisting of stocks with high and low ESG disclosure scores, respectively. By regressing the portfolios as time-series data against model (1) - (4), the results indicate no significant relationship between sustainability reporting and financial performance. Furthermore, the relationship is examined by constructing so-called sustainability reporting-momentum portfolios consisting of stocks with the largest positive and largest negative increase in ESG disclosure score, respectively. Here, the results show a strongly significant negative relationship between an increase in ESG disclosure score and excess returns for the positive momentum-portfolio for the factor models (1) - (3), as well as weak significance for model (4). No significant relationship is identified for the negative momentum-portfolio. Lastly, portfolios as in the second method are constructed for the sectors health care, financials, consumer discretionary, industrials and energy. However, these time-series regressions indicate no significant relationship between sustainability reporting and financial performance. Overall, the thesis’ results indicate either a negative or neutral relationship between sustainability reporting and financial performance. This is in line with previous research on the area and may have implications for how CEOs in companies listed on American stock exchanges and shareholders alike view sustainability reporting as a way of creating value.

EducationsMSc in Finance and Accounting, (Graduate Programme) Final Thesis
LanguageNorwegian
Publication date2020
Number of pages121