E-Thesis 225 views
Empirical analysis of the relationship between corporate ESG performance and corporate financial performance in the European market / YI ZHANG
Swansea University Author: YI ZHANG
DOI (Published version): 10.23889/SUthesis.66289
Abstract
This study empirically examines the ESG scores and expected returns nexus in three related chapters summarized below. Chapter 2 explores the relation between environmental (E), social (S) and governance (G) scores and expected long-term equity returns (CAPE) in the UK market. The results show that e...
| Published: |
Swansea, Wales, UK
2024
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| Institution: | Swansea University |
| Degree level: | Doctoral |
| Degree name: | Ph.D |
| Supervisor: | Upreti, Vineet ; Fan, Rui ; Jia, joy |
| URI: | https://cronfa.swan.ac.uk/Record/cronfa66289 |
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| Abstract: |
This study empirically examines the ESG scores and expected returns nexus in three related chapters summarized below. Chapter 2 explores the relation between environmental (E), social (S) and governance (G) scores and expected long-term equity returns (CAPE) in the UK market. The results show that environmental (E) and governance (G) scores have a negative correlation with the CAPE. We also observe an inverted U-shaped relationship between E score, its sub-dimension of carbon emission score (EmisS), and expected long-term equity returns. This indicates that there exists a minimum E score that a firm must attain for its long-term expected returns to start declining. Chapter 3 investigates the link between carbon intensity and CAPE among UK listed firms. The findings indicate that before the implementation of mandatory reporting of Greenhouse Gas Emissions (GHGe) regulation in 2013, carbon intensity and expected long-term equity returns (CAPE) were negatively (positively) associated for both high and low emissions industries. Following the implementation of the said regulation, this relationship changed from positive to negative for high emissions industries but not for low emissions industries. The divergence indicates that the 2013 regulation changed investor expectations by emphasizing the increased environmental risks in high emissions industries. Chapter 4 studies the relation between ESG scores and expected annual returns for firms in 7 European countries. The results indicate that only industry-unadjusted environmental scores (uE) have a statistically significant negative effect on expected annual returns. Further analysis shows the EmisS dimensions of the environmental score drives our results. Moreover, this association between expected returns and EmisS scores becomes more pronounced after adoption of the Paris Climate Accord. Finally, implementing emissions reduction policies by businesses significantly affects expected returns, as revealed by analysing EmisS score components. |
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| Keywords: |
Carbon Disclosure, Climate Change, Corporate Social Responsibility, Corporate Value, Environmental Social Governance, Expected Equity Return, Paris Agreement,Interactive Effect |
| College: |
Faculty of Humanities and Social Sciences |