| |
| author |
Joseph Rojek
| | title |
The Effects of ESG on the Energy Sector: A Cross-Regional Analysis of Stock Price Volatility
| | abstract |
Environment, Social, and Governance (ESG) metrics, first introduced in 2004, are
commonly used to assess a company's Corporate Social Responsibility (CSR) performance. The
energy sector is especially important to examine through the lens of ESG, given that just 57
companies, all of which are either fossil fuel or cement producers, account for 80% of the
world's climate changing emissions. Using a global sample of 168 companies in the energy
sector available through the London Stock Exchange Group (LSEG), this thesis examines the
factors that shape stock price Beta, with a particular emphasis on two LSEG specific measures -
ESG Score and the ESG Controversies Score. The empirical analysis finds an inverse U-shaped
relationship between Beta and ESG Score, but a positive linear relationship between ESG
Controversies Score and Beta, suggesting that ESG is a key factor in energy stock price
volatility. Firms are also broken down by sub-industry using The Refinitiv Business
Classification (TRBC), and by regions of the United States and European Union to assess more
specific relationships between ESG and Beta. The interaction (dummy) variables for all sub-
industries except Oil and Gas Exploration and Production were statistically significant, and with
the exception of Oil and Gas Drilling, were all negative. This finding reveals that Beta variability
differs between the sub-industries within the Energy sector and that the Beta is particularly large
in the latter case. The results also suggest that energy firms are less volatile in the United States
and European Union, yet firms with higher ESG Scores seem to be more volatile in each region.
On the other hand, the results indicate that firms with more ESG Controversies in the United
States are more volatile.
| | school |
The College of Liberal Arts, Drew University
| | degree |
B.A. (2025)
|
| advisor |
Jennifer Olmsted
|
| committee |
Yi Lu
Steven Firestone
|
| full text | JRojek.pdf |
| |
