Sustainable assets in a political landscape

: analyzing COVOL during key political elections

Abstract

This dissertation examines the impact of major political events on the volatility of high Environmental, Social, and Governance (HESG) and low Environmental, Social, and Governance (LESG) assets, using common volatility (COVOL) as a risk measure. Through an event study approach, the analysis identifies short-term volatility spikes following elections and referendums, showing that LESG assets exhibit sharper but short-lived reactions, while HESG assets experience more sustained but moderate shifts. The findings emphasize that shorter event windows (e.g., three days post-event) better capture immediate market reactions, whereas longer windows may obscure short-term fluctuations. Graphical analysis of COVOL confirms volatility peaks directly after political events, underlining the importance of precise event window selection. These results contribute to research on political risk and sustainable finance, offering insights for investors and policymakers in managing ESG-related risks. Future research should explore global markets, sector-specific patterns, and alternative risk models to improve understanding of ESG-related volatility dynamics.

Date of Award	6 May 2025
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Susana Campos Martins (Supervisor)