How have ESG-investments performed during the Covid-19 pandemic? : an event study of S&P ESG indices
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- Master's theses (HH) 
In this thesis, we investigate the impact of covid-19 on ESG versions of broad market indices from S&P. We use a cross-market approach and look for abnormal returns in Europe, the US, and the global market. A total of nine ESG indices are used – three from each market – with different approaches to ESG investing. The names of the indices are The Fossil Fuel Free, the Carbon Efficient and the ESG. Using event study methodology and following Mackinlay (1997) closely we look for abnormal returns 40 days before and after the WHO declaring covid-19 as a pandemic on March 11th. We use a market model for all our data and a two-factor model for a relevant sub-section of our data to calculate abnormal returns. Abnormal returns are investigated immediately before and after the WHO declaration, cumulative abnormal returns in the medium term and buy-and-hold abnormal returns for the full period of the study. We use both a t-test and a sign-rank test of significance of abnormal returns. Furthermore, we use a non-parametric approach to look for any changes to the idiosyncratic risk of our ESG indices.