In recent years, the relationship between environmental sustainability and financial per- formance has become a central topic in the academic and economic debate. Starting from the analysis conducted by Bolton et al. (2021) on the US market, this thesis aims to investigate whether these dynamics are present in the Italian context too. The first chapter presents a review of the existing literature, with particular attention to studies that analyze the link between CO2 emissions, ESG metrics and financial returns. The second chapter describes the dataset built for the analysis, exploring the main vari- ables, their distributions and the most relevant correlations, highlighting any critical issues related to the presence of missing data or unbalanced distributions. In the third chapter, the relationship between CO2 emissions and stock returns is an- alyzed through multiple regression models, weighted regression techniques (Propensity Score Weighting) and the construction of long-short portfolios based on sustainability in- dicators. The hypothesis tested is that companies with higher emissions can offer higher returns to compensate for the risk associated with the ecological transition, assessing the existence of a carbon premium in the Italian market. The fourth chapter examines the impact of corporate governance on financial performance and ESG strategies of companies, testing the existence of a governance premium. In par- ticular, multiple regression models are used to assess the effect of key variables such as the presence of ESG committees, the structure of the board of directors and the transparency of remuneration policies linked to sustainability. Furthermore, portfolio sorting tests and interaction analyses between governance and corporate profitability are conducted to ver- ify the role of governance in managing climate risk and creating value for stakeholders. The last chapter examines the results obtained, comparing them with existing literature and international studies. These results contribute to the debate on financial sustainabil- ity, offering food for thought for both investors and policy makers, in a context of growing attention to climate risks and ecological transition strategies.
Negli ultimi anni, il rapporto tra sostenibilità ambientale e performance finanziaria è di- ventato un tema centrale nel dibattito accademico ed economico. Partendo dall’analisi condotta da Bolton et al. (2021) sul mercato statunitense, questa tesi si propone di inda- gare se queste dinamiche siano presenti anche nel contesto italiano. Nel primo capitolo viene presentata una rassegna della letteratura esistente, con par- ticolare attenzione agli studi che analizzano il legame tra emissioni di CO2, metriche ESG e rendimenti finanziari.Il secondo capitolo descrive il dataset costruito per l’analisi, esplorando le principali variabili, le loro distribuzioni e le correlazioni più rilevanti, evi- denziando eventuali criticità legate alla presenza di dati mancanti o distribuzioni sbilan- ciate.Nel terzo capitolo si analizza la relazione tra emissioni di CO2 e rendimenti azionari attraverso modelli di regressione multipla, tecniche di regressione ponderata (Propen- sity Score Weighting) e la costruzione di portafogli long-short basati su indicatori di sostenibilità. L’ipotesi testata è che le aziende con emissioni più elevate possano offrire rendimenti superiori per compensare il rischio associato alla transizione ecologica, valu- tando l’esistenza di un carbon premium nel mercato italiano.Il quarto capitolo esamina l’impatto della corporate governance sulle performance finanziarie e sulle strategie ESG delle aziende, testando l’esistenza di un governance premium. In particolare, si utilizzano modelli di regressione multipla per valutare l’effetto di variabili chiave come la presenza di comitati ESG, la struttura del consiglio di amministrazione e la trasparenza delle politiche di remunerazione legate alla sostenibilità. Inoltre, vengono fatti test di sorting dei portafogli e analisi di interazione tra governance e redditività aziendale per verificare il ruolo della governance nella gestione del rischio climatico e nella creazione di valore per gli stakeholder. L’ultimo capitolo esamina i risultati ottenuti, confrontandoli con la letteratura esistente e con gli studi analizzati. Questi risultati contribuiscono al dibattito sulla sostenibilità finanziaria, offrendo spunti di riflessione sia per gli investitori che per i policy makers, in un contesto di crescente attenzione ai rischi climatici e alle strategie di transizione ecologica.
Statistical analysis of ESG metrics for italian listed companies
LUCCHI, VIRGINIA
2023/2024
Abstract
In recent years, the relationship between environmental sustainability and financial per- formance has become a central topic in the academic and economic debate. Starting from the analysis conducted by Bolton et al. (2021) on the US market, this thesis aims to investigate whether these dynamics are present in the Italian context too. The first chapter presents a review of the existing literature, with particular attention to studies that analyze the link between CO2 emissions, ESG metrics and financial returns. The second chapter describes the dataset built for the analysis, exploring the main vari- ables, their distributions and the most relevant correlations, highlighting any critical issues related to the presence of missing data or unbalanced distributions. In the third chapter, the relationship between CO2 emissions and stock returns is an- alyzed through multiple regression models, weighted regression techniques (Propensity Score Weighting) and the construction of long-short portfolios based on sustainability in- dicators. The hypothesis tested is that companies with higher emissions can offer higher returns to compensate for the risk associated with the ecological transition, assessing the existence of a carbon premium in the Italian market. The fourth chapter examines the impact of corporate governance on financial performance and ESG strategies of companies, testing the existence of a governance premium. In par- ticular, multiple regression models are used to assess the effect of key variables such as the presence of ESG committees, the structure of the board of directors and the transparency of remuneration policies linked to sustainability. Furthermore, portfolio sorting tests and interaction analyses between governance and corporate profitability are conducted to ver- ify the role of governance in managing climate risk and creating value for stakeholders. The last chapter examines the results obtained, comparing them with existing literature and international studies. These results contribute to the debate on financial sustainabil- ity, offering food for thought for both investors and policy makers, in a context of growing attention to climate risks and ecological transition strategies.| File | Dimensione | Formato | |
|---|---|---|---|
|
2025_04_Lucchi.pdf
accessibile in internet per tutti
Descrizione: Statistical analysis of ESG metrics for Italian listed companies, with a focus on the link between returns and emissions, and between governance practices and financial performance.
Dimensione
1.48 MB
Formato
Adobe PDF
|
1.48 MB | Adobe PDF | Visualizza/Apri |
I documenti in POLITesi sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
https://hdl.handle.net/10589/235987