Hållbarhetsprestation och finansiell volatilitet. En studie om sambandet mellan ESG-poäng och aktievolatilitet

Abstract

This paper aims to explore the relationship between financial risk and ESG scores in order to assist investors in making investment decisions. We investigate the hypothesis that there is a relationship between the ESG score of a company, and the financial risk in terms of volatility in the relevant company´s share price. The paper is grounded in sustainability reporting and financial risk. With the world facing significant changes and natural disasters, there is an urgent need for action to mitigate environmental impacts to avoid devastating consequences. The United Nations' Agenda 2030, comprising the 17 Sustainable Development Goals (SDGs), aims to address these challenges and achieve sustainable development by 2030. The Corporate Sustainability Reporting Directive (CSRD) aims to enhance ESG information available to investors, potentially reducing uncertainty and thus reducing entropy which can improve pricing of ESG factors. We found a significant negative relationship between short term financial volatility and ESG performance, using 200-day volatility as dependent variable and ESG scores by Refinitiv Eikon as independent variable. Thus, it appears that companies with higher ESG scores run less financial risk. By improving the reliability and standardization of ESG reporting, CSRD could contribute to reducing financial risk and attracting more investors to sustainable companies.