| dc.description.abstract | This thesis analyses the stock market reaction to announcements of sustainability-linked
loans and bonds. Our focus is on the European market, where we examine a sample of
announcements from publicly listed firms in 17 European countries. The study covers the
period from the introduction of sustainability-linked loans and bonds in Europe, 2017 and
2020, respectively, until the end of 2022. By applying an event study approach, we reveal
significant cumulative average abnormal returns of 1.04 % and 1.15 % for sustainability-linked
loans and bonds, respectively, indicating that equity holders perceive sustainability-linked
debt as value-enhancing.
In addition, we investigate geographical differences in announcement effects within Europe.
Notably, the event study results indicate that announcing a sustainability-linked loan leads to
significantly better stock market returns in the Nordic region than in the rest of Europe. At
the same time, no significant geographical effect is observed for sustainability-linked bonds.
These findings remain consistent when controlling for debt and firm-specific characteristics
using regression analysis.
Furthermore, we extend our analysis to examine the potential disparities between initial and
subsequent announcements of sustainability-linked debt. Contrary to existing literature, our
event study reveals significant positive stock market returns for both initial and subsequent
sustainability-linked debt announcements. | en_US |
