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ESG-Ratings and Returns

Ottesen, Dan Fredrik Clemp; Zilinskas, Sarunas
Master thesis
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URI
https://hdl.handle.net/11250/2686872
Date
2020
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  • Master of Science [963]
Abstract
We nd that value-weighted portfolios long US stocks from compa-

nies with low Environmental, Social and Governance (ESG)-ratings

and short stocks with high ESG-ratings have returned annualized

5-factor alphas between 6.9% and 10.8% in the period of 2010 and

2018 depending on the choice of breakpoint. Through analysing

holdings of institutional investors, we nd that the di erence in

performance cannot be attributed to behavioral changes such as

negative screening of low-rated ESG stocks or impact investing in

high-rated ESG stocks.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2020
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Handelshøyskolen BI

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