Aller au contenu

Event-Study of ESG Controversies on CAC Mid-Caps

Stock market reactions to corporate non-financial controversies reveal significant structural vulnerabilities within intermediate-capitalization equities. Adverse sustainability events trigger immediate abnormal valuation discounts that vary systematically across environmental, social, and governance categories. These short-term price adjustments underscore the critical dependency of mid-cap equity performance on verified operational integrity rather than symbolic disclosure.

Aperçu du document

Ceci est un aperçu succinct. La version complète comprend un texte étendu pour toutes les sections, une conclusion et une bibliographie formatée.

Master's Thesis

Degree:
Event-Study of ESG Controversies on CAC Mid-Caps

Author:

Group

First M. Last

Advisor:

Dr. First Last

City, 2026

Contents

Introduction
1. Theoretical Underpinnings of ESG Controversies and Mid-Cap Market Efficiency
1.1. Information Asymmetry and Signaling Mechanisms in Mid-Cap Equities
1.2. Stakeholder Salience, Reputational Risk, and Value Destruction
1.3. Decoupling between ESG Disclosures and Operational Controversies
2. Methodological Architecture for Event-Study Analysis on French Mid-Caps
2.1. Event Definition and Taxonomy of Environmental, Social, and Governance Events
2.2. Estimation Windows, Benchmark Models, and Abnormal Return Calculations
2.3. Robustness Tests and Controlling for Cross-Sectional Clustered Volatility
3. Empirical Assessment of Abnormal Returns Surrounding Controversy Disclosures
3.1. Immediate Market Corrections across Environmental and Social Incidents
3.2. Governance Failures versus Operational Sustainability Shocks
3.3. Persistence of Cumulative Abnormal Returns in the CAC Mid 60 Context
4. Comparative Discussion and Strategic Implications for Portfolio Governance
4.1. Reputational Penalties and Capital Efficiency in Intermediate Capitalizations
4.2. Analytical Gaps in Rating Agency Coverage and Market Sensitivity
4.3. Recommendations for Sustainable Asset Allocation and Active Ownership
Conclusion
Bibliography

Introduction

Capital market dynamics increasingly punish corporate lapses in environmental, social, and governance domains, challenging traditional assumptions regarding market efficiency and asset pricing across distinct capitalization tiers. While large-cap entities benefit from extensive analyst coverage and institutional buffering, medium-sized enterprises listed on developed market indices such as the French CAC Mid 60 exhibit acute structural vulnerabilities. The pricing of non-financial shocks remains tightly coupled with underlying information asymmetries, making market reactions to negative reputational events an essential area of inquiry (Stewart, 2025).

Empirical asset pricing research demonstrates that intermediate equities display unique return dynamics and distinct sensitivity to operational shocks compared to larger peers (Rani and Tripathy, 2025). When reputational integrity fails due to corporate missteps, the moderating capacity of prior sustainability disclosures often collapses, precipitating sharp valuation discounts (Apergis and Poufinas, 2026). In mid-cap segments where liquidity constraints and idiosyncratic risks are pronounced, negative non-financial incidents tend to destabilize capital efficiency and heighten downside volatility (Cruz et al., 2015).

This paper investigates the valuation consequences of adverse sustainability incidents on French mid-cap equities through standard event-study methodology. By assessing cumulative abnormal returns surrounding verified corporate controversies across environmental, social, and governance pillars, the investigation examines whether ex-ante sustainability positioning shields or exacerbates short-term market penalties. The inquiry bridges corporate finance literature and empirical asset pricing, offering actionable insights for institutional investors, index managers, and corporate governance practitioners.

4.2. Analytical Gaps in Rating Agency Coverage and Market Sensitivity

The empirical findings confirm that adverse sustainability events induce pronounced valuation penalties across intermediate-capitalization equities, challenging the premise that high corporate ESG disclosures reliably insulate firms from operational disruptions. As established in the literature on disclosure credibility, controversy shocks systematically negate any valuation premia gained from standard ESG metrics, exposing a structural paradox wherein highly rated entities frequently register severe reputational incidents due to symbolic over-disclosure rather than substantive risk management (SSRN 6734315, 2026). Furthermore, the substantial heterogeneity observed across ESG rating agencies—where rating metrics from different providers exhibit divergent explanatory capacities regarding emergent controversies (Stewart, 2025)—exacerbates informational asymmetry for mid-cap securities. Unlike large-cap counterparts that benefit from extensive analyst coverage, intermediate-capitalization firms face acute market sensitivity when sudden governance or environmental failures materialize. Nevertheless, a critical research gap persists regarding how sector-specific materiality interactively modulates short-term cumulative abnormal returns in mid-tier European equity segments. Extant studies predominantly focus on broad US large-cap indices or emerging market dynamics, leaving the structural specificities of European mid-caps under-theorized. Moreover, this study faces methodological limitations. The sample relies on third-party event tagging, which may inherit reporting lags or selection biases intrinsic to external rating methodologies. In addition, the short-horizon event window isolates immediate abnormal returns but cannot capture subsequent structural reorganizations or long-term capital reallocation paths. Recognizing these analytical boundaries reinforces the need for multidimensional, ex-post controversy verification rather than passive reliance on static ex-ante ratings.

References

  1. Momentum Effect in Indian Mid-Cap Equities: Evidence from the NSE Midcap 150
    Krishika Nishad
    Lien DOI
  2. Price Return Dynamics in the Indian Stock Markets: Evidence from Large-Cap and Mid-Cap Stocks
    Avani Khandelwal
    Lien DOI
  3. Relationship of Corporate Performance with Stock Returns Across Large-Cap, Mid-Cap, and Small-Cap Firms : Fresh Insights from India
    Muhammadriyaj Faniband, Pravin Jadhav
    Lien DOI
  4. Volatilidade dos índices de ações mid-large cap e small cap: uma investigação a partir de modelos ARIMA/GARCH (Volatility of Stock Index Mid-Large Cap and Small Cap: An Investigation from ARIMA/GARCH Models)
    Anderson Mól, Israel José dos Santos Felipe, Franklin Júnior
  5. A Comparative Study of Large Cap, Mid Cap, And Small Cap Mutual Funds In India
    Tawal V, Dhadve A, Choudhury S. B. et al.
  6. Do ESG Scores Explain ESG Controversies?
    Robert Stewart
  7. ESG Controversies and Firm Value: Moderating Role of ESG Performance
    Junesuh Yi, Tae-Wook Ahn
  8. When ESG Credibility Fails: Reputational Controversies, Cash Efficiency, and the Conditionality of the ESG
    Mahmoud Zarea, Mohamed Hegazy

Bibliographie

Sources VérifiéesNormes de FormatageHaute UnicitéModèles Pro
🔥 25% OFF

Recherche

NF ISO 690

13 €17 €
  • 30+ pages
  • Haute originalité
  • Exporter vers Word
  • Formatage correct
  • Aperçu public
    L'aperçu d'un autre auteur ne peut pas être rendu privé. Votre travail sera privé et totalement unique.
  • Bibliographie (40+, NF ISO 690)
    +2 €
  • Ajouter des sources alternatives (Actualités, .gov, .edu)

Recherche

NF ISO 690

Event-Study of ESG Controversies on CAC Mid-Caps | Recherche | Aicademy