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Advisor(s)
Abstract(s)
As alterações climáticas obrigaram todos os Estados a tomarem medidas estratégicas para
que o impacto das mesmas seja reduzido em períodos futuros. Desta forma, surgiu o
conceito de finanças sustentáveis que tem vindo a ter um papel fundamental no que toca
ao desenvolvimento sustentável, com o estabelecimento dos princípios Environmental,
Social and Governance (ESG). Este mercado tem vindo a desenvolver-se rapidamente
desde a sua criação, sendo as green bonds o instrumento que mais se tem destacado.
Nesse contexto, esta dissertação propõe-se a estudar o impacto da emissão de green bonds
na formação de retornos anormais em ações de empresas cotadas nos principais índices
acionistas da plataforma pan-europeia Euronext. A amostra inclui 58 emissões realizadas
entre 2014 e 2022 por 21 empresas diferentes listadas nos índices AEX (Países Baixos),
BEL 20 (Bélgica), CAC 40 (França), ISEQ 20 (Irlanda), OBX (Noruega) e PSI (Portugal).
Será utilizado o estudo dos eventos como metodologia, recorrendo-se ao modelo de
mercado e aos procedimentos de Mackinlay (1997), para determinação dos retornos
anormais, e de Beaver (1968), para determinar a reação dos preços das ações à emissão
das green bonds (evento).
Os resultados sugerem que as emissões de green bonds provocam uma reação positiva
significativa sobre o preço das ações das empresas envolvidas, especialmente na data de
concretização das operações. Consequentemente, são formados retornos acionistas
anormais que tendem a perdurar durante alguns dias. Estes resultados promovem
evidências contra a forma fraca de eficiência dos mercados financeiros.
Climate change has forced all states to take strategic measures to reduce its impact in future periods. In this way, the concept of sustainable finance emerged and has played a fundamental role in sustainable development, with the establishment of the Environmental, Social and Governance (ESG) principles. This market has developed rapidly since its creation, with green bonds being the instrument that has stood out the most. In this context, this dissertation aims to study the impact of issuing green bonds on the formation of abnormal returns in shares of companies listed on the main stock indices of the Euronext pan-European platform. The sample includes 58 issues made between 2014 and 2022 by 21 different companies listed on the AEX (Netherlands), BEL 20 (Belgium), CAC 40 (France), ISEQ 20 (Ireland), OBX (Norway) and PSI (Portugal) indices. The study of events will be used as a methodology, using the market model and the procedures of Mackinlay (1997) to determine abnormal returns and Beaver (1968) to determine the reaction of share prices to the issue of green bonds (event). The results suggest that the issuance of green bonds causes a significant positive reaction on the share prices of the companies involved, especially on the date of the transactions. Consequently, abnormal shareholder returns are formed which tend to last for a few days. These results provide evidence against the weak form of financial market efficiency.
Climate change has forced all states to take strategic measures to reduce its impact in future periods. In this way, the concept of sustainable finance emerged and has played a fundamental role in sustainable development, with the establishment of the Environmental, Social and Governance (ESG) principles. This market has developed rapidly since its creation, with green bonds being the instrument that has stood out the most. In this context, this dissertation aims to study the impact of issuing green bonds on the formation of abnormal returns in shares of companies listed on the main stock indices of the Euronext pan-European platform. The sample includes 58 issues made between 2014 and 2022 by 21 different companies listed on the AEX (Netherlands), BEL 20 (Belgium), CAC 40 (France), ISEQ 20 (Ireland), OBX (Norway) and PSI (Portugal) indices. The study of events will be used as a methodology, using the market model and the procedures of Mackinlay (1997) to determine abnormal returns and Beaver (1968) to determine the reaction of share prices to the issue of green bonds (event). The results suggest that the issuance of green bonds causes a significant positive reaction on the share prices of the companies involved, especially on the date of the transactions. Consequently, abnormal shareholder returns are formed which tend to last for a few days. These results provide evidence against the weak form of financial market efficiency.
Description
Keywords
Green Bonds Estudo dos eventos Retornos anormais Euronext Finanças sustentáveis Study of events Sustainable finance Abnormal returns