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Empirical analysis of the relationship between corporate ESG performance and corporate financial performance in the European market / YI ZHANG

Swansea University Author: YI ZHANG

  • E-Thesis – open access under embargo until: 20th March 2029

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...

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Published: Swansea, Wales, UK 2024
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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spelling v2 66289 2024-05-03 Empirical analysis of the relationship between corporate ESG performance and corporate financial performance in the European market 5bfb7f980dc91507fa9bf52cbb65aa31 YI ZHANG YI ZHANG true false 2024-05-03 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. E-Thesis Swansea, Wales, UK Carbon Disclosure, Climate Change, Corporate Social Responsibility, Corporate Value, Environmental Social Governance, Expected Equity Return, Paris Agreement,Interactive Effect 20 3 2024 2024-03-20 10.23889/SUthesis.66289 COLLEGE NANME COLLEGE CODE Swansea University Upreti, Vineet ; Fan, Rui ; Jia, joy Doctoral Ph.D 2024-05-06T10:55:54.0168077 2024-05-03T11:08:11.7448636 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance YI ZHANG 1 Under embargo Under embargo 2024-05-03T12:06:15.6490053 Output 2570158 application/pdf E-Thesis – open access true 2029-03-20T00:00:00.0000000 Copyright: The Author, Yi Zhang, 2024. This thesis is released under the terms of a Creative Commons Attribution-Non-Commercial No–Derivatives (CC-BY-NC-ND) license. Third party content is excluded for use under the license terms. true eng https://creativecommons.org/licenses/by-nc-nd/4.0/
title Empirical analysis of the relationship between corporate ESG performance and corporate financial performance in the European market
spellingShingle Empirical analysis of the relationship between corporate ESG performance and corporate financial performance in the European market
YI ZHANG
title_short Empirical analysis of the relationship between corporate ESG performance and corporate financial performance in the European market
title_full Empirical analysis of the relationship between corporate ESG performance and corporate financial performance in the European market
title_fullStr Empirical analysis of the relationship between corporate ESG performance and corporate financial performance in the European market
title_full_unstemmed Empirical analysis of the relationship between corporate ESG performance and corporate financial performance in the European market
title_sort Empirical analysis of the relationship between corporate ESG performance and corporate financial performance in the European market
author_id_str_mv 5bfb7f980dc91507fa9bf52cbb65aa31
author_id_fullname_str_mv 5bfb7f980dc91507fa9bf52cbb65aa31_***_YI ZHANG
author YI ZHANG
author2 YI ZHANG
format E-Thesis
publishDate 2024
institution Swansea University
doi_str_mv 10.23889/SUthesis.66289
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 0
active_str 0
description 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.
published_date 2024-03-20T10:55:53Z
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score 11.0241995

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