| Abstract [eng] |
The aim of this master thesis is to create a model for assessing the impact of corporate environmental disclosures on stock prices based on the analysis of scientific literature and to assess the impact of environmental disclosures on stock prices of Nordic and Baltic industrial companies whose shares are traded on a regulated market. The work consists of three main parts: literature analysis, research and its results, conclusions and recommendations. The analysis of scientific literature provides an overview of the concept of environmental information and its disclosure requirements discussed in legislation and other sources, as well as the impact of the disclosure of environmental information on stock prices. The analysis carried out showed that the concept of both the ESG and its environmental component is increasingly recognised and used in business practice but lacks a specific definition. To ensure sufficient and high-quality disclosure of environmental information, to prevent companies from exploiting the lack of certainty and manipulating information on the environmental impact of a company, an increasing number of legislative initiatives aim to introduce more detailed disclosure requirements for environmental information. A significant amount of research quantifies the positive link between more detailed environmental disclosures and increase of stock prices. Based on the methodology and models developed in the second part of this work, quantitative researches are carried out that quantify the impact of the disclosure of environmental information on the stock prices of Nordic-Baltic industrial companies whose shares are traded on a regulated market. Several research methods are used for detailed quantification: event study, linear regression and logistic regression. An analysis of 92 events of 18 industrial companies traded on the regulated market in order to assess the cumulative abnormal return on the share price showed that, in most cases, the environmental disclosure event had an impact on the change of company’s stock price. However, the study carried out did not allow a reliable distinction to be made between the impact of environmental and other material company information (e.g. financial results) published together. A quantitative study of linear regression and logistic regression was conducted by assessing the performance of 242 Nordic-Baltic industrial companies whose shares are traded on a regulated market over a 7-year period (2017 to 2023). The results of the linear and logistic regression confirmed that the environmental rating given to the company is a significant variable to explain the changes in stock prices. However, the environmental rating was not identified as the most important factor in the quantitative assessments carried out, as the coefficients or odds ratios of the other control variables were higher and statistically significant. The conclusions and recommendations, summarizing the results of scientific literature and quantitative research carried out, provide insights into the impact of disclosure of environmental information of companies on their price changes. The author believes that the results of the study could encourage companies to incorporate environmental objectives into their activities and to disclose environmental information in more detail, as well as investors to assess such information while making investment decisions. In the future, the use of more frequent data, clearly distinguishing environmental disclosure events from other ones and analysing the costs and benefits of environmental information disclosure would enrich this type of research. |
