ESG:n vaikutus osakkeiden resilienssiin Euroopassa epävarmuuden aikana: Paneelitutkimus

This thesis examines whether firms with higher ESG performance were more resilient during the market uncertainty caused by Russia’s invasion of Ukraine and the resulting energy crisis and uncertain market conditions. Using monthly raw and abnormal returns for 496 EuroStoxx 600 firms from January 2022 to April 2023, the study compares a crisis period to a subsequent recovery phase. The empirical strategy partially follows Lins et al. (2017) and includes Carhart four-factor loadings, industry fixed effects, firm-level controls, and firm-clustered standard errors. The results show that ESG scores are positively associated with stock returns during the crisis but have no effect during the recovery period. The protective effect is statistically weak but consistent with earlier findings that ESG can mitigate downside risk in uncertain times. Analysis of the individual pillars indicates that the Environmental and Social components provide some resilience, whereas Governance has little influence. Overall, the study suggests that ESG can offer limited downside protection during periods of heightened uncertainty.