Investing green - Has CSRD changed investor behavior. An event study on European companies
Author
Revsbeck, Ann-Sofie Dahl
Term
4. semester
Publication year
2025
Submitted on
2025-06-01
Abstract
Denne afhandling undersøger, om EU’s Corporate Sustainability Reporting Directive (CSRD), der trådte i kraft for regnskabsåret 2024, har ændret investoradfærd ved at påvirke aktiemarkedets reaktion på årsrapporter. Med udgangspunkt i den effektive markedshypotese kombineres et litteraturstudie med et eventstudie af kumulerede abnorme afkast omkring offentliggørelsen af årsrapporter for 40 børsnoterede selskaber på tværs af fem europæiske lande og fire sektorer, med sammenligning mellem virksomheder omfattet af CSRD og en baseline af virksomheder, der ikke er omfattet. Derudover anvendes Fama & Frenchs tre-faktormodel til at justere for størrelses- og valueeffekter. Resultaterne viser ingen entydigt signifikant forskel i markedsreaktioner mellem CSRD-rapporterende og baseline-virksomheder i det brede billede; når der kontrolleres for virksomhedsstørrelse og value, fremkommer der dog en signifikant forskel. På trods af metodiske begrænsninger, herunder støj fra samtidige begivenheder (særligt politiske forhold i USA), konkluderer studiet derfor, at CSRD i sit første implementeringsår har haft en effekt på det europæiske aktiemarked. Afhandlingen anbefaler yderligere empiriske analyser, herunder tværsnitsregressioner, der inddrager detaljer fra CSRD-rapporterne og branchespecifikke forhold.
This thesis examines whether the EU’s Corporate Sustainability Reporting Directive (CSRD), effective for financial year 2024, has changed investor behavior by altering stock market reactions to annual reports. Grounded in the Efficient Market Hypothesis, the study combines a literature review with an event study of cumulative abnormal returns around report release dates for 40 listed companies spanning five European countries and four sectors, comparing firms subject to CSRD with a baseline not subject to it. A Fama and French three-factor analysis is applied to control for size and value effects. The results show no clear, statistically significant difference in market reactions between CSRD-reporting and baseline firms overall; however, after adjusting for firm size and value, a significant difference emerges. Despite limitations—including market noise from concurrent events, notably US political developments—the study concludes that CSRD has had an effect on the European stock market in its first year. It recommends further empirical work, such as cross-sectional regressions incorporating the content of CSRD disclosures and sector characteristics.
[This abstract was generated with the help of AI]
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