The Norwegian government pension fund global : "the cost of ethical exclusions"

Abstract

Our thesis contributes to the literature on SRI by measuring the financial impact of ethical exclusion for the GPFG. We do this by creating a portfolio of excluded companies from the GPFG, and measure its performance against a constructed benchmark. We find that the portfolio of all exclusions has higher cumulative return, and a $ 1 414 648 901 higher total dollar value than benchmark. By splitting the portfolio to one without tobacco companies, and one with only tobacco companies, we find that the portfolio underperforms the benchmark without the tobacco companies. Although we find economical significant evidence for the portfolio of exclusion outperforming the benchmark, we only find statistically significant evidence for the portfolio of tobacco outperforming the benchmark.