The Green Taxonomy: An Event Study to Evaluate the Impact of EU Taxonomy Announcements on European Sustainable Companies

Sammanfattning: This paper examines how sustainable companies based in EU countries react to EU Taxonomy announcements. This is performed using an event study methodology where companies´ share price performances are analysed around three chosen announcement days. The initial assumption was that green firms should generate positive abnormal returns as a result of the announcements. When performing the analysis across the whole EU, results indicate that this holds true for sustainable firms. However, when replicating the analysis for individual EU countries included in the original dataset, the results are less significant with great differences between the countries. In addition, an analysis was conducted with a dataset including only polluting firms. The results indicate that these firms reacted negatively to the taxonomy announcements. The results are consistent with previous event studies analysing regulatory sustainability announcements. To summarize, our results suggest that investors acknowledge the EU Taxonomy despite it being in an early implementation stage, but as significance varies, further analysis is needed to reach a conclusion.