Relevância de informação não financeira para o mercado de capitais

Abstract

This study investigates the relevance of non-financial information to the capital market, i.e. environmental, social and governance (ESG) performance in the market. The Ohlson (1995) model was used for the analysis, which allows us to assess the association between ESG scores and share price, where the latter is dependent on both financial and non-financial information. The data sample is a set of 1806 company-year observations for the period 2016 to 2022 from the Thomson Reuters Eikon database. This sample consists of 352 companies from European Union (EU) member countries. The estimated results indicate that the ESG rating is relevant to stock prices in Europe, as is consistent with previous studies. In addition, contrary to expectations, there is no difference in the relationship between share prices and ESG ratings in companies from sensitive industries, even when they use integrated reporting. In addition, it was considered important to analyze which ESG dimension has the greatest relevance for the capital market, and so it was concluded that the governance dimension has the greatest impact for non-sensitive industries, while the environmental dimension has the greatest impact for sensitive industries. The aim of this thesis is motivated by the growing debate on sustainability on a global scale, as well as to provide information on the year in question.

Date of Award	18 Dec 2023
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Maria José Martins Lourenço da Fonseca (Supervisor) & Ricardo Ribeiro (Co-Supervisor)