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The Financial Cost of Sustainable Investing in the Nordic Region

Nguyen, Hoang-Dung; Smaamo, Joachim
Master thesis
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URI
http://hdl.handle.net/11250/2626113
Date
2019
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  • Master of Science [1530]
Abstract
This master thesis investigates whether there are financial costs associated

with sustainable investing with a focus on the Nordic stock market. We apply

two different models to test our hypotheses. Firstly, inspired by Hong &

Kacperczyk (2009), we estimate whether “sin” stocks generate abnormal returns.

Overall, we find mixed evidence on investors paying a financial cost

from negatively screening “sin” stocks. For both Sweden and Finland, we find

excess returns associated with “sin” stocks. Further, we investigate the relationship

between sustainability ratings, specifically ESG Ratings, and riskadjusted

returns. We do not detect a significant relationship between superior

ESG Ratings and superior risk-adjusted returns. Consistent with existing literature,

we present mixed evidence on whether sustainable investing implies

financial costs.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019
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Handelshøyskolen BI

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