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The impact of ESG announcements on investor behavior in European markets
(2025-03-21) Λελίατσος, Χρήστος; Leliatsos, Christos; Athens University of Economics and Business, Department of International and European Economic Studies; Topaloglou, Nikolaos; Demos, Antonios; Conrad, Landis
In the contemporary financial landscape, where many traditional pricing theories have been arbitraged away, it becomes imperative to develop new models or refine existing ones to better explain market dynamics and inefficiencies. One such emerging approach, which serves as the primary focus of this study, is the integration of Environmental, Social, and Governance (ESG) strategies into asset pricing models. This research aims to investigate how ESG scoring, along with its associated effects and pillars, contributes to market efficiency, either by enhancing it or by exposing new inefficiencies that were previously not apparent. Given that ESG is a relatively recent factor in financial research, particularly in comparison to well-established models such as the Fama-French Three-Factor Model, the first objective of this dissertation is to critically examine and assess existing asset pricing theories. Once these foundational theories have been analyzed, the study will attempt to position ESG scoring within the broader landscape of factor investing. Furthermore, it is essential to explore the rationale behind the growing importance of ESG considerations not only from the perspective of investors but also from a broader public interest standpoint because, as firms increasingly incorporate ESG factors into their decision-making processes, it becomes necessary to understand the incentives driving this shift, which will be explored in subsequent sections of this study. Additionally, this research will analyze the methodologies employed by financial data providers, such as Thomson Reuters, in calculating ESG scores which will then be followed by an empirical investigation in which the Capital Asset Pricing Model (CAPM) will be evaluated against ESG scoring to determine its effectiveness in explaining market movements. Should the analysis reveal that the CAPM model does not explain the ESG related effects, then ulterior models, which will have been analyzed in previous chapter of this study will be used. Then finally, this study will note how well does the market perceive this scoring, along with how it can interact with previous and older studies.