• norsk
    • English
  • norsk 
    • norsk
    • English
  • Logg inn
Vis innførsel 
  •   Hjem
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • Vis innførsel
  •   Hjem
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • Vis innførsel
JavaScript is disabled for your browser. Some features of this site may not work without it.

Can sustainability criteria enhance returns and reduce risk on stocks?

Rana, Maria; Vassvik, Siri
Master thesis
Thumbnail
Åpne
1751433.pdf (3.318Mb)
Preliminary.pdf (1.138Mb)
Permanent lenke
http://hdl.handle.net/11250/2477116
Utgivelsesdato
2017
Metadata
Vis full innførsel
Samlinger
  • Master of Science [1117]
Sammendrag
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.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017
Utgiver
BI Norwegian Business School

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit
 

 

Bla i

Hele arkivetDelarkiv og samlingerUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifterDenne samlingenUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifter

Min side

Logg inn

Statistikk

Besøksstatistikk

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit