Comparing the Impacts of Sustainability Narratives on American and European Energy Shareholders: A Multi-Event Study Analysing Reactions to News before and during COVID-19

Round 1

Reviewer 1 Report

In my opinion, the manuscript is interesting, but the Authors have written in a very hasty way. Some formal and substantial aspects have to be improved. At present state, reading the paper is very hard.

What follows is a sample of the inconsistencies and inaccuracies that one can find. I suggest adjusting the paper to allow a reviewer to read and evaluate the substantial aspects of the work.

1. The Authors have written two times "market model (mm)", see lines 236 and 238.

2. Line 240: "on a particular day ARit ...", "it" should be written as a subscript

3. Line 241: "stock return Rit ...", "it" should be written as a subscript

4. R_{mt} is not defined. Moreover, the Authors have  written R_{mt} in Equation (1) and RM_{t} in Equation (2)

5. In formula (3) there is a sum for t, but if I sum AR_{i}, I'm summing some constants...

6. What is the meaning of AR_{it} when t=-7 ?

7. Formula (8): is \hat{gamma} a measure of skewness? Moreover, the closure bracket is written as a subscript.

8. Line 269: "coefficient of skewness an...", maybe "coefficient of skewness and"

9. Line 269: is \sqrt{nS} or \sqrt{n}S ?

10. Line 274: "CAAR = zero" should be CAAR = 0

11. Line 276: see point 6.

and many others.

 

Author Response

"Please see the attachment." 

Author Response File: Author Response.pdf

Reviewer 2 Report

1. put forward background information on the issue at hand

2. why focus on these selected markets?

3. Justified on the sample that was for 2017-2020? how about 2021?

4. The literature section's last paragraph on the focus on the energy companies for Europe and the US sound like an objective and should be moved to the introduction.

5. The analysis period was from January 2017 to December 2022.  - we are yet to be in December 2022. In Table 1, the data ended in December 2019? which was the correct data adopted here in this paper.

6. Europe 17-19, refer to year of analysis? similar to Europe 20, why separate in such way? do justified. If those were indeed sample, then perhaps, the authors should expand into 2021.

7.  No conclusion section.

Author Response

"Please see the attachment."

Author Response File: Author Response.pdf

Reviewer 3 Report

Dear Authors,

The paper is an interesting read. However, to comply with Sustainability’s high standards, the text may benefit from some improvements (some of them structural).

 

Line 34: “Investors are no longer just looking for profitability, they also want to be part of the solution to the challenges facing society (climate change, poverty, inequality, social exclusion, etc.), meaning that they also invest in social and ecological awareness [3–5].”. References are from 2006 and 2008. More up-to-date references is required to underpin this argument.

 

Line 51 – “As a result, during the first quarter of 2020, the S&P 500 51 Index plummeted 34%.”. Provide reference.

 

Line 89 – “The event study methodology is a statistical methodology that is used to measure the impact of specific events on the value of companies: in this case, high-volume sustainability news.”. Indeed, this methodology is also referenced in the abstract and is crucial to the paper. However, the reader is given very little explanation as to why the authors choose this method over other possibilities. Even when the authors quote reference 78, they do not elaborate on the specificities of this method (who designed it, its rationale, previous practical applications, etc…). Thus, context is needed.

 

Linha 100 – “To achieve this, we analysed all global and digital high-volume news on sustainability from 2017 to 2020, using the GDELT news database as a source of information.”. Is not “analysed” too strong a statement? Was this a true, in-depth analysis, or just an overview?

 

Line 104 – “Compared to the existing literature, the contributions of this paper are as follows….”. This (and what follows) are strong assertions. They need to be brought to the fore in a more concrete way. In other words, the authors should provide a synthesis table highlighting this study's advantages compared to other studies-. This would help underline the gap and the inefficiencies that the present study effectively and efficiently tackles.

 

Line 127 -  So, there is no current scientific consensus that investments in sustainability and CSR…”. This is underpinned by a 2008 reference. Please provide more up-to-date references that show that a lack of consensus still exists. 

 

Line 153: “The scientific literature has also analysed how the COVID-19 pandemic has influenced the stock market returns of ESG factors…”. Provide post-2020 references.

 

Lines 181 – “The analysis period was from January 2017 to December 2022”. This cannot be. December 2022 has not happened yet. Did you mean 2019?

 

Line 208 – “The next step was to group the high-volume news into the following categories: energy and sustainability keywords (for example, “petrochemical” + “footprint”) (Table 1); market (i.e., USA or Europe); period (i.e., before or during COVID-19); tone (i.e., positive, 210 negative, or neutral).  The number of event studies that were gathered was 2,134.”

 

It would be very useful to readers to explain how the 2.134 event studies are spread across the different categories. A table containing that information would add value to the paper.

 

Line 441 – “This research had some limitations regarding the event study methodology…”. This brings back what I already mentioned: the authors say that their study has limitations when it comes to the event study methodology, but the reader is unaware of the main characteristics of this methodology (because they were not explained in due course in the paper). I stress once more the necessity to provide more context regarding this choice over other possibilities and a description of it (which can also include pros and cons) in the methodology section.

 

Finally, I would also recommend to the authors the development of the discussion part and then create a separate conclusion (in which the theoretical and practical implications of the paper can be included, along with strengths and weaknesses and to what extent they foresee that their study can contribute to future research and/or applications).

Author Response

"Please see the attachment."

Author Response File: Author Response.pdf

Reviewer 4 Report

Comparing the Impacts of Sustainability Narratives on American and European Energy Shareholders: A Multi-Event Study Analysing Reactions to News Before and during COVID-19

 

This paper has the objective of assessing how positive, neutral, and negative sustainability news impacts the share prices of American and European energy companies. As they use a sample comprising of pre- and post-pandemic data the authors also want to assess if the link has changed with the COVID-19 pandemic. The conclusions of the empirical analysis showed that European and American shares react differently. Also, a distinction of the reaction between types of energy are made.

In general, the paper is coherent, well written and straight forward. The methodology is represented by event study and seems well executed. The results are interesting and the paper makes a good contribution to the literature. The novelty of the study is related to both the differences between European and American markets and the differentiation between types of energy. The results are interesting also for investors and policymakers.

An area of improvement in my view is related to the fact that the objective of comparing the reaction before and after the pandemic is not still met. The discussion and abstract do not comment much on that, despite elements are present in the empirical analysis.

In addition, the impact of the results on various stakeholders could be explained in more detail.

In conclusion, I recommend redrafting the abstract and discussion part with more implications and also with a more detailed discussion about the investigated link before and after the pandemic.

Author Response

"Please see the attachment."

Author Response File: Author Response.pdf

Round 2

Reviewer 1 Report

The paper continues to be presented inaccurately. Although I have pointed out several formal inaccuracies, the authors FAILED to present a revised version free of inaccuracies.

Subsection 3.2

- “As previous and bast Finance research”. What is “bast”?

- “of all stock n to find”. “n” has to be written in italics

- “AR is calculated”. But AR means Absolute returns, so AR are calculated.

- The acronym "mm" is useless, it is used only two times.

- In equation (2) R_{it} (see equation (1)) and not Rit

- In equation (1) there is a dot between \beta_i and R_{mt}, in equation (2) there is no dot

- Developing the sum in equation (3) we have AR_{i,-7}+ AR_{i,-6} AR_{i,-5}+… AR_{i,7}. Is this what you mean? Or AR_{i,-t7}+ AR_{i,t-6} AR_{i,t-5}+… AR_{i,t+7}. This aspect is not clear.

- “all n stocks“. “n” has to be italics

- Equation (8) is probably wrong. Skewness is computed using the third power of the deviations. And the denominator is the third power of the standard deviation.

- Insert a space between \hat{\gamma} and is

- It is not \sqrt{nS}, but \sqrt{n}S

- Why H0(H0) and H1(H1)?

 

 

Author Response

"Please see the attachment." 

Author Response File: Author Response.pdf

Reviewer 3 Report

The authors incorporated the suggestions in an effective way. The result is an improved paper. Congratulations to the authors.

Author Response

"Please see the attachment." 

Author Response File: Author Response.pdf