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Event-Study of ESG Controversies on OMX Copenhagen Issuers

Sudden ESG controversies trigger abrupt equity repricing through heightened market scrutiny and asymmetric information adjustments. In institutionalized Nordic markets like the OMX Copenhagen, stakeholder governance structures determine whether adverse non-financial disclosures permanently impair corporate valuation or merely generate transient volatility.

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Master's Thesis

Degree:
Event-Study of ESG Controversies on OMX Copenhagen Issuers

Author:

Group

First M. Last

Advisor:

Dr. First Last

City, 2026

Contents

Resumé (DA)
Abstract
Indledning
Problemformulering
Teoretisk ramme: Stakeholder Dynamics and Information Friction
Agency Theory and Adverse Selection in Capital Markets
Signaling Mechanisms and Reputational Capital Valuation
Metode: Event-Study Design and Nordic Market Context
Event Window Calibration and Benchmark Index Selection
Classification of ESG Controversy Shocks and Data Filtering
Analysis: Market Valuation Adjustments on OMX Copenhagen
Abnormal Returns Across Environmental and Social Pillars
Governance Buffers and Cross-Sectional Firm Variation
Discussion: Structural Implications for Nordic Asset Pricing
Litteraturliste
AI-erklæring
Konklusion
Bibliography

Introduction

Corporate exposure to negative environmental, social, and governance disclosures represents an immediate catalyst for asset repricing in modern equity markets. Institutional capital allocation increasingly incorporates non-financial risk metrics, transforming ESG controversies from peripheral reputational incidents into critical drivers of market discipline and cash-flow expectations [1], [4]. In advanced Nordic equity frameworks such as the OMX Copenhagen, where sustainable investment mandates and regulatory scrutiny are highly institutionalized, corporate controversies test market efficiency and information processing mechanisms under stringent governance expectations.

Theoretical ambiguity persists regarding whether equity markets treat ESG controversy events as transient sentiment fluctuations or structural revisions of firm-level intrinsic value. While classical agency theory suggests that controversy disclosures reveal underlying governance deficits and information hoarding, empirical evidence across international markets indicates complex adjustments where enhanced public scrutiny can mitigate subsequent crash risk or diminish firm performance [1], [3]. Identifying how public equity issuers on the Danish exchange absorb controversy shocks remains vital for refining event-study models within high-transparency jurisdictions.

This paper examines the short-horizon market reaction to ESG controversy announcements among OMX Copenhagen listed firms, assessing abnormal returns and cross-sectional variance driven by governance structures. Utilizing secondary event-study literature, econometric models of market efficiency, and comparative financial frameworks [2], [4], the research investigates the speed and magnitude of capital reallocations. The resulting synthesis clarifies the boundary conditions of stakeholder theory and provides actionable insights for Nordic asset pricing.

Discussion: Structural Implications for Nordic Asset Pricing

The empirical synthesis indicates that ESG controversies act as critical non-financial information shocks, yet capital market pricing mechanisms exhibit substantial structural divergence across corporate governance environments. On the one hand, adverse sustainability events undermine forward-looking valuation metrics, as higher ESG controversy scores systematically depress corporate valuation measured by Tobin’s Q, while balanced board structures serve as essential governance buffers that mitigate these negative valuation effects (crossref-10-2139-ssrn-4846119). On the other hand, corporate controversies do not uniformly elevate tail risk; contrary to classical managerial bad-news hoarding hypotheses, severe ESG controversy exposure is negatively associated with stock price crash risk because heightened public visibility catalyzes rigorous external market scrutiny and reduces information opacity (crossref-10-2139-ssrn-6665038). This theoretical divergence reveals a profound research gap regarding how institutionalized Nordic stakeholder frameworks on the OMX Copenhagen absorb adverse sustainability disclosures, specifically whether local board practices and high baseline sustainability compliance insulate listed issuers from permanent equity repricing or merely accelerate rapid information discovery. Nevertheless, notable empirical limitations constrain these cross-jurisdictional insights. Prior empirical literature primarily evaluates broad North American or developing equity markets, where regulatory transparency, reporting standards, and disclosure convergence fundamentally differ from the Nordic dual-tier, stakeholder-oriented corporate environment. Furthermore, aggregate controversy scores frequently obscure idiosyncratic pillar-level dynamics across environmental, social, and governance domains, thereby preventing a granular assessment of controversy severity. Consequently, establishing the precise boundary conditions of controversy transmission requires explicit contextual calibration to Danish capital market structures, where specialized investor expectations govern asset valuation.

References

  1. ESG Controversies and Stock Price Crash Risk: The Governance Shield
    Muhammad Umar Shahbaz
    DOI-link
  2. Examining Intraday Stock Market Response to ESG News Classified by AI: An Event Study Approach
    Tesfaye Salarin, Jacopo Staiano, Flavio Bazzana et al.
    DOI-link
  3. Environmental, social, and governance (ESG) performance and earnings management: evidence from the brazilian stock market
    Jocykleber Meireles de Souza, Vanessa Câmara de Medeiros Fernandes, Camilla Araújo Amaral Duarte et al.
    DOI-link
  4. ESG (Environmental, Social, and Governance) Controversy Scores and Firm Performance. A Case Study of US Firms
    Dhruba Banjade
  5. An Attempt to Understand Stock Market Investors’ Behaviour: The Case of Environmental, Social, and Governance (ESG) Forces in the Pakistani Stock Market
    Samina Rooh, Hatem El-Gohary, Imran Khan et al.
  6. Environmental, Social, and Governance (ESG) Performance and Stock Return Volatility
    Baldevsingh Gautam
  7. ESG Controversies and Stock Market Returns: Using a Natural Language Processing
    Jeongseok Bang, Doojin Ryu
  8. How environmental, social and governance (ESG) investing controversies can impact fossil fuels
    Sibo Chen

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