University of Twente Student Theses


ESG scores and stock price returns: How do ESG scores impact stock price returns in the Netherlands

Spirova, T. (2023) ESG scores and stock price returns: How do ESG scores impact stock price returns in the Netherlands.

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Abstract:The growing interest in sustainable business practices has fostered the rise of attention paid to environmental, social and governance (ESG) scores companies receive. The spark in interest has led to a large body of literature on the impact of the scores on companies’ financial performance, share prices and returns, with mixed results across regions, countries, and industries. Therefore, this thesis aims to find the impact social, environmental, and governance scores have on expected share price returns in the Netherlands. To answer the research question, ESG and financial data from Refinitiv Eikon is collected for a sample of 44 companies listed on Euronext Amsterdam, over the period between 2018 to 2020. The analysis is done by using panel data regressions with fixed time and firm effects, with robust standard errors and a Wald test. The results indicate, when not accounting for the risk, social and ESG scores negatively affect expected share price returns. Meanwhile, environmental and governance scores seem to have a positive impact on the expected returns. Thus, this thesis informs investors about the impact ESG scores have on the returns they may receive. It further informs investors about the dangers and consequences of the tilting of ESG reporting. Lastly, it informs companies about how their investments and performance in environmental, social, and governance activities impact their cashflows and their public perception.
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:85 business administration, organizational science
Programme:Business Administration MSc (60644)
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