The relationship between ESG and stock performance in sensitive and non-sensitive industries during the COVID-19 crisis

Abstract

This thesis examines the relationship between ESG and stock performance in sensitive and non-sensitive industries during the COVID-19 crisis. It is based on a sample consisting of 344 unique Swedish companies during the years 2020 and 2021 with data collected from the Refinitiv Eikon database. The purpose of this analysis was to test if a statistically significant link between ESG scores and stock performance could be determined through regression analysis. Data were exclusively collected from the Refintiv Eikon database and manipulated in the statistical data science software Stata. The fixed effect regression analysis provided no statistically significant support for a relationship between ESG score and Buy-and-hold Abnormal Returns, BHAR. However, by including an interaction variable, ESGxSensitive, the regression analysis demonstrated that the relationship between ESG and BHAR differs between sensitive and non-sensitive industries. Thus, the analysis provided evidence for a positive relationship between ESG and BHAR in sensitive industries. Furthermore, a discussion concerning ESG and its link to the stakeholder theory is discussed. Even if no significant relationship exists between the ESG and BHAR variable in this sample, ESG could in theory still form a valuable investment from a stakeholder theory perspective.