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A Fund Analysis of Sustainable Investing in the Norwegian Market

Sagelvmo, Thea Marie; Coughlan, Sahra Brandal
Master thesis
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URI
http://hdl.handle.net/11250/2624830
Date
2019
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  • Master of Science [1116]
Abstract
This thesis analyzes risk – adjusted returns for a sample of sustainable and

conventional funds in the Norwegian market during a nine-year period (January

2011 to December 2018). It contributes with further research on the sustainable

versus conventional investing debate, in the little investigated Norwegian market.

The methodological approach incorporates internationally accepted capital asset

pricing models. Additionally, we consider pricing factors relevant specifically for

the Norwegian market and we construct a Norwegian model that incorporates

empirically valid pricing factors for this region. Like in previous international

research, we find that the risk-adjusted performance of Norwegian sustainable

funds is matched with that of Norwegian conventional funds. Our findings are

particularly interesting for environmental, social, and governance – oriented

investors and organizations. An example is the Norwegian Government Pension

Fund Global as the fund uses sustainable investment approaches in its portfolio

management. The data suggests that such investors do not have to pay a premium

for investing sustainably. Additionally, we find that sustainable funds are

significantly less exposed to small capitalization stocks than conventional funds.

Our risk-adjusted performance findings are robust for a range of time periods and

sustainability definitions. Risk factor exposure has showed minor variances

depending on periods and sustainability definitions.
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Masteroppgave(MSc) in Master of Science in Business, Business law, tax and accounting - Handelshøyskolen BI, 2019
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Handelshøyskolen BI

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