The aim of University of Warsaw Faculty of Management Working Paper Series  (ISSN 2300-4371) is to get the findings out quickly, even if the presentations are less than fully polished. 

The papers published in the FMWPS can be both empirical and theoretical studies. Research areas covered by the FMWPS include: economics, finance, banking, management, marketing as well as quantitative methods. 

FMWPS are written by researchers employed at  the Faculty of Management of UW and by other economists, who present their research results in conferences or seminars organised by the Faculty or who would like to publish their findings in FMWPS. 

Energy Sector Stock Prices—are Environmental, Social, Governance Factors Important?

• Patrycja Chodnicka-Jaworska

The aim of this paper is to analyze the impact of ESG measures on the rates of return in the energy sector. The main hypothesis is as follows: The ESG measures have a significant impact on the energy sector’s rates of return, especially in the context of the COVID-19 crisis. An analysis was conducted using the rates on return on stock prices companies listed on stock exchanges all over the world. For the analysis, data from the Refinitiv database were used. To verify the abovementioned hypothesis, quarterly data from financial statements, macroeconomic data, and ESG measures for all companies that have been listed on the stock exchanges worldwide were collected for 2010–2021 period. The sample was divided into sub-samples according to the type of sector and the period of the COVID-19 crisis. In the analysis, the significance of the size of the company, the value of capitalization, political indicators, and the level of the economy divisions was assessed.

Keywords: energy sector, rates of return, ESG, COVID-19, crisis

JEL Classification: G10, F44, O13, P18, Q40

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THE SPILLOVER EFFECT BETWEEN CREDIT RATINGS—COVID-19 CRISIS PERSPECTIVE

• Patrycja Chodnicka-Jaworska
• Hassan Obeid
• Piotr Jaworski

The aim of this study is to analyze the impact of the COVID-19 crisis on the spillover effect between European and American banks and the long-term issuer credit ratings of non-financial companies. A literature review was prepared and, as a result, three hypotheses are proposed: During the COVID-19 crisis, the long-term issuer credit ratings of non-financial companies presented high volatility, which increased during the later period of the crisis; higher volatility of the credit ratings of non-financial companies was noticed in Europe than in the U.S.; and a stronger spillover effect was noticed in Europe than in the U.S. An analysis was prepared for the period of 2000–2022 for listed non-financial companies on the European and U.S. stock exchanges that had received long-term issuer credit ratings from the main credit rating agencies. For the analysis, panel data models were used.

Keywords: spillover effect, credit ratings, default risk, contagion effect

JEL Classification: G24, G21, G33

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