Do Investors Respond to Corporate Sustainability Communication? Evidence from an Event Study in the European Chemicals Industry (2020–2023)

Although sustainability communication is considered a potential value driver, its impact on share prices in energy- and emissions-intensive industries has rarely been empirically proven. This thesis examines this issue by analysing 4,690 press releases from 20 companies in the STOXX Europe 600 Chemicals index between 2020 and 2023 using an event study approach. Abnormal returns (ARs) were calculated at the firm level within a ±5 trading day window. Individual stock performance was benchmarked against both the industry index (STOXX Europe 600 Chemicals) and the broader market (STOXX Europe 600). Cumulative abnormal returns (CARs) were used as the primary indicator. The analysis revealed a significant average CAR of approximately +0.16 percentage points (� < �. ��) of the 20 companies in the European chemical industry. However, macro factors have a significantly stronger influence on share price performance; movements in the overall market account for almost 90% of the variance in stock returns, while changes in gas prices provide only a minor additional impetus. Membership in the Dow Jones Sustainability Index (DJSI) and the FTSE4Good Index has no independent effect on share prices, and textual characteristics, such as length, readability, sentiment, and thematic categories, also remain statistically insignificant. This thesis provides the first evidence in the European chemical sector that investors consider ESG (Environmental, Social, and Governance) news. However, its impact is substantially outweighed in the short term by broader market conditions. In theory, this study extends signalling theory to operational ESG communication. However, in practice, it shows investor relations and sustainability managers that concrete sustainability measures alone are insufficient to overcome dominant market factors in the short term.