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Can sustainability criteria enhance returns and reduce risk on stocks?

Rana, Maria; Vassvik, Siri
Master thesis
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URI
http://hdl.handle.net/11250/2477116
Date
2017
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  • Master of Science [1530]
Abstract
This thesis investigates whether sustainability criteria can be used to enhance

return and reduce risk on stocks. This is done through conducting an empirical

analysis on European stocks from 2007-2016, with the purpose of identifying a

four-factor model that includes the sustainability score in addition to the three

Fama and French factors.

The methodology is based upon famous techniques to test asset pricing models,

performing one two-pass regression inspired by Fama and Macbeth (1973) and

one two-pass regression inspired by Fama and French (1992). The results show

that the criteria can be used to obtain higher expected return, less volatility and

less company-specific risk by investing in companies with better sustainability

scores.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017
Publisher
BI Norwegian Business School

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