Browsing by Subject "tapahtumatutkimus"
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(2019)The aim of the thesis is to study how green bond offerings affect the stock price of a listed company. Green bonds are a relatively new form of securities. Their valuation effects, pricing and other effects on company success have been studied only little so far. A green bond differs from a conventional bond only in that the proceeds must be used for projects that contribute to environmental objectives. The thesis also analyses how different characteristics, such as bond credit rating, maturity type or year of issuance, or company industry, listing status and domicile affect the possible valuation effect of Green Bond issuance. This thesis has been commissioned by Indufor Oy. The data for the study were collected from the Bloomberg database with OP’s license and open online sources. Two samples were formed. The first consisted of the details of 219 corporate green bonds issued during 2014–2019. The second sample consisted of the details of 183 conventional bonds. The second sample was formed by identifying nearest neighbour matches for green bonds using the Mahalanobis distance to determine the closest match, based on bond and issuer characteristics. The study was conducted as a quantitative event study. Closing prices of the issuing companies’ shares were used to deter-mine regular returns using four different factor models. The difference between these regular and actual realized returns on the announcement date of the bonds (when a bond was first announced to the public) and ten days surrounding this date were interpreted as abnormal returns attributable to the announcement of the bond. These abnormal returns were tested for statistical significance. Contrary to previous research, the current study finds that announcing a green bond offering results in a statistically significant, negative stock price reaction. The average cumulative abnormal return during [-1,1] surrounding the announcement date is found to be -0.267%. A similar result is not found from the sample of conventional bonds. This leads to the assumption that the abnormal returns are attributable to the “greenness” of a green bond. The geographic location of issuers was found to impact the size of the stock price reaction. Green bonds issued by companies in developed countries were not found to result in significant stock price reaction. Green bonds issued by companies in developing countries on the other hand were found to result in a positive stock price reaction. During 2014–2016 stock prices were found to react more strongly to green bond announcements than during 2017–2019. During both periods, reactions were negative, however. Green bonds issued by financial companies resulted in statistically significant negative stock price reaction, while there were no statistically significant reactions to green bonds issued in other industries. Green bonds with poor credit ratings resulted in steeper negative price reactions than investment-grade green bonds, which was also statistically more significant. The results are surprising, since environmentally sustainable business has been connected to improved financial success in previous studies, and green bond issuance can be understood to signal commitment to environmentally sustainable performance. Based on the current study it is reasonable to conduct further studies on green bonds.
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(2021)Corporate responsibility has become an increasingly important objective, and its role as a part of company’s strategy has enhanced. The discussions around the topic have heated and failure to take responsibility into account can be very detrimental to the company’s reputation. Company’s accountability has been guided by regulatory means. There have been regulations in place for a longer period both in Europe and the United States, but in the emerging markets the interest around the topic is also constantly growing. The aim of the thesis was to investigate how companies’ stock prices react when they are either added to or removed from the responsibility index in the emerging markets in 2013-2020. The index under study was the Dow Jones Sustainability Emerging Markets Index (DJSI Emerging Markets), which selects annually approximately 80 best companies from the emerging markets according to RobecoSAM’s ESG criteria. In addition, the study examined whether the reactions had changed in the subsequent period 2016–2020 compared to the previous period 2013–2015. The research material was collected from the S&P Global website and, in terms of share prices, from the Orbis and Yahoo Finance databases. Data analysis was performed with R and Microsoft Excel software. Quantitative event study was used as a research method, and the data was examined by using the daily stock prices in the 21-day [-10, +10] event window. The study examined the reaction both at the time of publication of the index (publication date, when the annual content of the index is published) and at the actual time of change (date of change, when the changes in the index take effect). Based on the results, the addition to the studied index caused abnormal returns around the date of change on the two-day window [0, +1]. The observed average cumulative abnormal return (CAAR) in the event window was +0.46%. Annualized, the abnormal return would thus be approximately 57,5%. However, based on the results, abnormal returns weakened later after the event. Additionally, for the removed stocks, a negative return reaction was observed in the date of change event window [0, +1], where the CAAR was -0.37%. No statistically significant results were observed in later time windows – suggesting the presence of semi-strong market efficiency. On the publication date of the index, no statistically significant results were observed. Reactions only on the change date suggest that the addition (deletion) to the index itself does not provide the investors with new information about the stocks added (removed). Instead, the results provide evidence that the abnormal return arises from the increased trading activity of the stock.
Now showing items 1-2 of 2